Reliable inference for complex models by discriminative composite likelihood estimation

DOI10.1016/J.JMVA.2015.10.008MaRDI QIDQ901279zbMATH OpenOpenAlexFDO

Authors Davide Ferrari, Chao Zheng

Publication date 23 December 2015

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1502.04765

zbMATH Keywords

composite likelihood estimationexponential tiltingmodel selectionrobustnessstability

Mathematics Subject Classification ID

Statistical ranking and selection procedures (62F07) Point estimation (62F10) Parametric inference under constraints (62F30) Multivariate analysis (62H99)

Abstract: Composite likelihood estimation has an important role in the analysis of multivariate data for which the full likelihood function is intractable. An important issue in composite likelihood inference is the choice of the weights associated with lower-dimensional data sub-sets, since the presence of incompatible sub-models can deteriorate the accuracy of the resulting estimator. In this paper, we introduce a new approach for simultaneous parameter estimation by tilting, or re-weighting, each sub-likelihood component called discriminative composite likelihood estimation (D-McLE). The data-adaptive weights maximize the composite likelihood function, subject to moving a given distance from uniform weights; then, the resulting weights can be used to rank lower-dimensional likelihoods in terms of their influence in the composite likelihood function. Our analytical findings and numerical examples support the stability of the resulting estimator compared to estimators constructed using standard composition strategies based on uniform weights. The properties of the new method are illustrated through simulated data and real spatial data on multivariate precipitation extremes.

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Cited in

(3)

• Parameter inference in a probabilistic model using clustered data
• Regression estimation via information-weighted composite models with different dimensions
• Exponential tilting for zero-inflated interval regression with applications to cyber security survey data

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