Transformations in regression, estimation, testing and modelling
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Transformation is a powerful tool for model building. In regression the response variable is transformed in order to achieve the usual assumptions of normality, constant variance and additivity of effects. Here the normality assumption is replaced by the Laplace distributional assumption, appropriate when more large errors occur than would be expected if the errors were normally distributed. The parametric model is enlarged to include a transformation parameter and a likelihood procedure is adopted for estimating this parameter simultaneously with other parameters of interest. Diagnostic methods are described for assessing the influence of individual observations on the choice of transformation. Examples are presented. In distribution methodology the independent responses are transformed in order that a distributional assumption is satisfied for the transformed data. Here the interest is in the family of distributions which are not dependent on an unknown shape parameter. The gamma distribution (known order), with special case the exponential distribution, is a member of this family. An information number approach is proposed for transforming a known distribution to the gamma distribution (known order). The approach provides an insight into the large-sample behaviour of the likelihood procedure considered by Draper and Guttman (1968) for investigating transformations of data which allow the transformed observations to follow a gamma distribution. The information number approach is illustrated for three examples end the improvement towards the gamma distribution introduced by transformation is measured numerically and graphically. A graphical procedure is proposed for the general case of investigating transformations of data which allow the transformed observations to follow a distribution dependent on unknown threshold and scale parameters. The procedure is extended to include model testing and estimation for any distribution which with the aid of a power transformation can be put in the simple form of a distribution that is not dependent on an unknown shape parameter. The procedure is based on a ratio, R(y), which is constructed from the power transformation. Also described is a ratio-based technique for estimating the threshold parameter in important parametric models, including the three-parameter Weibull and lognormal distributions. Ratio estimation for the weibull distribution is assessed and compared with the modified maximum likelihood estimation of Cohen and Whitten (1982) in terms of bias and root mean squared error, by means of a simulation study. The methods are illustrated with several examples and extend naturally to singly Type 1 and Type 2 censored data.
Thesis, PhD Doctor of Philosophy
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