On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood

Nikoloulopoulos, Aristidis K. ORCID: https://orcid.org/0000-0003-0853-0084 (2013) On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood. Journal of Statistical Planning and Inference, 143 (11). pp. 1923-1937. ISSN 0378-3758

Preview

PDF (1304.0905v1) - Accepted Version Download (266kB) | Preview

Abstract

The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived conveniently under the theory for copula models with continuous margins, but there has not been a clear analysis of the adequacy of this method. We investigate the asymptotic and small-sample efficiency of two variants of the method for estimating the multivariate normal copula with univariate binary, Poisson, and negative binomial regressions, and show that they lead to biased estimates for the latent correlations, and the univariate marginal parameters that are not regression coefficients. We implement a maximum simulated likelihood method, which is based on evaluating the multidimensional integrals of the likelihood with randomized quasi-Monte Carlo methods. Asymptotic and small-sample efficiency calculations show that our method is nearly as efficient as maximum likelihood for fully specified multivariate normal copula-based models. An illustrative example is given to show the use of our simulated likelihood method.

Item Type:	Article
Uncontrolled Keywords:	continuous extension,jitters,multivariate normal copula,rectangle probabilities,simulated likelihood
Faculty \ School:	Faculty of Science > School of Computing Sciences
UEA Research Groups:	Faculty of Science > Research Groups > Statistics (former - to 2024) Faculty of Science > Research Groups > Numerical Simulation, Statistics & Data Science
Related URLs:	http://arxiv.org/abs/1304.0905
Depositing User:	Pure Connector
Date Deposited:	28 Sep 2013 00:47
Last Modified:	27 Nov 2024 10:12
URI:	https://ueaeprints.uea.ac.uk/id/eprint/43513
DOI:	10.1016/j.jspi.2013.06.015

Downloads

Actions (login required)

View Item