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Cattelan, Manuela and Sartori, Nicola (2014) Empirical and Simulated Adjustments of Composite Likelihood Ratio Statistics. [Working Paper] WORKING PAPER SERIES, 2/2014 . , PADOVA (Inedito)

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Abstract (english)

Composite likelihood inference has gained much popularity thanks to its computational manageability and its theoretical properties. Unfortunately, performing composite likelihood ratio tests is inconvenient because of their awkward asymptotic distribution. There are many proposals for adjusting composite likelihood ratio tests in order to recover an asymptotic chi square distribution, but they all depend on the sensitivity and variability matrices. The same is true for Wald-type and score-type counterparts. In realistic applications sensitivity and variability matrices usually need to be estimated, but there are no comparisons of the performance of composite likelihood based statistics in such an instance. We compare the accuracy of inference based on the statistics considering two methods typically employed for estimation of sensitivity and variability matrices, namely an empirical method that exploits independent observations, and Monte Carlo simulation. The results in two examples involving the pairwise likelihood show that a very large number of independent observations should be available in order to obtain accurate coverages using empirical estimation, while simulation from the full model provides accurate results regardless of the availability of independent observations.

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EPrint type:Working Paper
Anno di Pubblicazione:02 March 2014
Key Words:composite likelihood, equicorrelated multivariate normal, multi- variate probit, pairwise likelihood
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:6982
Depositato il:22 Jul 2014 09:42
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