Paper 1, Section I, J

Statistical Modelling
Part II, 2010

Consider a binomial generalised linear model for data y1,,yny_{1}, \ldots, y_{n} modelled as realisations of independent YiBin(1,μi)Y_{i} \sim \operatorname{Bin}\left(1, \mu_{i}\right) and logit linkμi=eβxi/(1+eβxi)\operatorname{link} \mu_{i}=e^{\beta x_{i}} /\left(1+e^{\beta x_{i}}\right) for some known constants xi,i=1,,nx_{i}, i=1, \ldots, n, and unknown scalar parameter β\beta. Find the log-likelihood for β\beta, and the likelihood equation that must be solved to find the maximum likelihood estimator β^\hat{\beta} of β\beta. Compute the second derivative of the log-likelihood for β\beta, and explain the algorithm you would use to find β^\hat{\beta}.