Peter X.-K. Song () (Department of Mathematics and Statistics, York University; Toronto, ON) Yanqin Fan () (Department of Economics, Vanderbilt University) John D. Kalbfleisch () (Department of Biostatistics, University of Michigan School of Public Health)
Abstract
This paper presents and examines a new algorithm for solving a score equation for the maximum likelihood estimate in certain problems of practical interest. The method circumvents the need to compute second order derivatives of the full likelihood function. It exploits the structure of certain models that yield a natural decomposition of a very complicated likelihood function. In this decomposition, the first part is a log likelihood from a simply analyzed model and the second part is used to update estimates from the first. Convergence properties of this fixed point algorithm are examined and asymptotics are derived for estimators obtained by using only a finite number of steps. Illustrative examples considered in the paper include bivariate and multivariate Gaussian copula models, nonnormal random effects and state space models. Properties of the algorithm and of estimators are evaluated in simulation studies on a bivariate copula model and a nonnormal linear random effects model.
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Paper provided by Department of Economics, Vanderbilt University in its series Working Papers with number
0319.
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