2005
DOI: 10.1002/cjs.5540330303
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Composite likelihood estimation in multivariate data analysis

Abstract: Abstract:The authors propose two composite likelihood estimation procedures for multivariate models with regressionlunivariate and dependence parameters. One is a two-stage method based on both univariate and bivariate margins. The other estimates all the parameters simultaneously based on bivariate margins. For some special cases, the authors compare their asymptotic efficiencies with the maximum likelihood method. The performance of the two methods is reasonable, except that the first procedure is inefficien… Show more

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Cited by 109 publications
(112 citation statements)
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“…Under usual regularity assumptions, the CML estimator of θ is consistent and asymptotically normally distributed with asymptotic mean θ and covariance matrix given by the inverse of Godambe's (1960) sandwich information matrix (see Zhao and Joe, 2005):…”
Section: Model Estimationmentioning
confidence: 99%
“…Under usual regularity assumptions, the CML estimator of θ is consistent and asymptotically normally distributed with asymptotic mean θ and covariance matrix given by the inverse of Godambe's (1960) sandwich information matrix (see Zhao and Joe, 2005):…”
Section: Model Estimationmentioning
confidence: 99%
“…Under usual regularity assumptions (Molenberghs andVerbeke, 2005, Xu and, the CML estimator of θ is consistent and asymptotically normal distributed with asymptotic mean θ and covariance matrix given by the inverse of Godambe's (1960) sandwich information matrix ) (θ G (see Zhao and Joe, 2005):…”
Section: Model Estimationmentioning
confidence: 99%
“…The properties of the general CML estimator may be derived using the theory of estimating equations (see Cox andReid, 2004, Yi et al, 2011). Specifically, under usual regularity assumptions (Molenberghs andVerbeke, 2005, page 191, Xu and, the CML estimator of θ is consistent and asymptotically normal distributed with asymptotic mean θ and covariance matrix given by the inverse of Godambe's (1960) sandwich information matrix (see Zhao and Joe, 2005):…”
Section: The Composite Marginal Likelihood Approachmentioning
confidence: 99%