Generalized least squares and maximum likelihood estimations of multivariate polychoric correlations

DOI10.1007/BF02008373MaRDI QIDQ1096993zbMATH OpenOpenAlexFDO

Authors Sik Lee, Wai-Yin Poon

Publication date 1987

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02008373

zbMATH Keywords

errors estimatesfinite sample behaviorsGauss-Newton algorithmgeneralized least squares estimationiterative procedureiteratively reweighted methodmaximum likelihood estimationmultidimensional contingency tablemultivariate polychoric correlations model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Contingency tables (62H17) Measures of association (correlation, canonical correlation, etc.) (62H20) Probabilistic methods, stochastic differential equations (65C99)

Review text

This paper investigates the generalized least squares estimation and the maximum likelihood estimation of the parameters in a multivariate polychoric correlations model, based on data from a multidimensional contingency table. Asymptotic properties of the estimators are discussed. An iterative procedure based on the Gauss-Newton algorithm is implemented to produce the generalized least squares estimates and the standard errors estimates. It is shown that via an iteratively reweighted method, the algorithm produces the maximum likelihood estimates as well. Numerical results on the finite sample behaviors of the methods are reported.

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Cites work

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• Maximum likelihood estimation of the polychoric correlation coefficient
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(13)

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• Estimation of polychoric correlation with elliptical latent variables
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• Maximum likelihood estimation of polychoric correlations inr×s×tcontingency tables
• Two-step estimation of multivariate polychoric correlation
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• Generalized Least Squares Estimation in Contingency Tables Analysis: Asymptotic Properties and Applications
• More efficient parameter estimates for factor analysis of ordinal variables by ridge generalized least squares
• Asymptotic robustness study of the polychoric correlation estimation
• Bootstrap Fit Testing, Confidence Intervals, and Standard Error Estimation in the Factor Analysis of Polychoric Correlation Matrices
• Generalized least squares for the synthesis of correlated information
• Optimal choice of IHS-type of transformations for log-linear modeling

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