On the estimation of normal copula discrete regression models using the continuous extension and simulated likelihood
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Publication:394097
DOI10.1016/J.JSPI.2013.06.015zbMATH Open1279.62116arXiv1304.0905OpenAlexW2074130726MaRDI QIDQ394097FDOQ394097
Authors: Aristidis K. Nikoloulopoulos 
Publication date: 24 January 2014
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1304.0905
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Cited In (19)
- Maximum likelihood estimation of Gaussian copula models for geostatistical count data
- Statistical analysis of dependent competing risks model in constant stress accelerated life testing with progressive censoring based on copula function
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- A copula-based portrayal of the collider bias
- Copula in a multivariate mixed discrete-continuous model
- Bivariate Mixed Poisson Regression Models with Varying Dispersion
- Recursive Calculation Model for a Special Multivariate Normal Probability of First-Order Stationary Sequence
- Statistical analysis of multivariate discrete-valued time series
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- A new bivariate Poisson distribution via conditional specification: properties and applications
- A review of multivariate distributions for count data derived from the Poisson distribution
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