Factor Models for Multivariate Count Data

Journal of Multivariate Analysis 87 (2003) 356–369

14 Pages Posted: 26 Apr 2014

See all articles by Michel Wedel

Michel Wedel

University of Maryland - Robert H. Smith School of Business, Marketing Department; University of Groningen - Faculty of Economics and Business

Ulf Bockenholt

Northwestern University

Wagner A. Kamakura

Rice University

Date Written: 2001

Abstract

We develop a general class of factor-analytic models for the analysis of multivariate (truncated) count data. Dependencies in multivariate counts are of interest in many applications, but few approaches have been proposed for their analysis. Our model class allows for a variety of distributions of the factors in the exponential family. The proposed framework includes a large number of previously proposed factor and random effect models as special cases and leads to many new models that have not been considered so far. Whereas previously these models were proposed separately as different cases, our framework unifies these models and enables one to study them simultaneously. We estimate the Poisson factor models with the method of simulated maximum likelihood. A Monte-Carlo study investigates the performance of this approach in terms of estimation bias and precision. We illustrate the approach in an analysis of TV channels data.

Keywords: Poisson distribution, Simulated likelihood, Link function

Suggested Citation

Wedel, Michel and Bockenholt, Ulf and Kamakura, Wagner A., Factor Models for Multivariate Count Data (2001). Journal of Multivariate Analysis 87 (2003) 356–369. Available at SSRN: https://ssrn.com/abstract=2428898

Michel Wedel (Contact Author)

University of Maryland - Robert H. Smith School of Business, Marketing Department ( email )

College Park, MD 20742
United States
301.405.2162 (Phone)
301.405.0146 (Fax)

HOME PAGE: http://www.rhsmith.umd.edu/marketing/faculty/wedel.html

University of Groningen - Faculty of Economics and Business ( email )

Postbus 72
9700 AB Groningen
Netherlands

Ulf Bockenholt

Northwestern University ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

Wagner A. Kamakura

Rice University ( email )

6100 South Main Street
P.O. Box 1892
Houston, TX 77005-1892
United States
(713) 348-6307 (Phone)

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