Past exam of the mathematics course of the University of Cambridge / 2013 / iii / Paper 30 / 5 / b / i / Solution

Let $Y_{it}\in \{0,1\}$ indicate a smoking-free week, $S_i$ the recorded sex indicator, $A_i$ age in years and $T_i$ assigned treatment. The screening history supplies $Y_{i0}=0$; earlier lag initializations are also zero. A history-dependent logistic regression for the first model isHere $t=1,\dots ,10$, ${\mathcal{H}}_{i,t-1}$ is the observed past, and the five unknown regression coefficients have time-invariant values. Conditional on baseline covariates, this model has the first-order Markov property: only the immediately preceding outcome enters the current conditional probability. Distinct subjects have independent histories. There is no subject random effect or additional time trend in this fit.

Using the chain rule for probabilities, the individual conditional likelihood isThe lagged values in ${\eta }_{it}$ are the individual's actual preceding outcomes. This product is a sequential conditional likelihood, not an assertion of unconditional independence of the ten readings. The full conditional likelihood is ${\prod }_i{L}_i$; no extra Bernoulli distribution factor is attached to the fixed screening history.