The Monte Carlo EM method for estimating multivariate Tobit latent variable models

DOI10.1080/00949650802137170MaRDI QIDQ3401364zbMATH OpenOpenAlexFDO

Authors

Publication date 29 January 2010

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650802137170

zbMATH Keywords

factor analysisGibbs samplerlatent variablemaximum likelihood estimatesMCEM algorithmmultivariate tobit model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Monte Carlo methods (65C05)

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Cites work

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• Generalized Least Squares with an Estimated Autocovariance Matrix
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Cited in

(10)

• A Monte Carlo EM method for estimating multinomial probit models.
• Sequential Monte Carlo EM for multivariate probit models
• Estimation methods for multivariate Tobit confirmatory factor analysis
• A variational EM method for mixed membership models with multivariate rank data: an analysis of public policy preferences
• Estimation of the SUR Tobit model via the MCECM algorithm.
• Maximum likelihood estimation for Tobit variance components models
• On the Convergence of the Monte Carlo Maximum Likelihood Method for Latent Variable Models
• Tobit factor analysis†
• Likelihood-based inference for Tobit confirmatory factor analysis using the multivariate Student-t distribution
• The Monte Carlo EM method for estimating multinomial probit latent variable models

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