Gram–Schmidt–Fisher scoring algorithm for parameter orthogonalization in MLE
John Kwagyan, Victor Apprey, George Ebow Bonney · Cogent Mathematics · 2016
The estimation of parameters is a key component in statistical modelling and inference. However, parametrization of certain likelihood functions could lead to highly correlated estimates, causing numerical problems, mathematical complexities and difficulty in estimation or erroneous interpretation and subsequently inference. In statistical estimation, the concept of orthogonalization is familiar as a simplifying technique that allows parameters to be estimated independently and thus separates information from each other. We introduce a Fisher scoring iterative process that incorporates the Gram–Schmidt orthogonalization technique for maximum likelihood estimation. A finite mixture model for correlated binary data is used to illustrate the implementation of the method with discussion of application to oesophageal cancer data.