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Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models

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  • Lawless, Jerald F.
  • Yilmaz, Yildiz E.

Abstract

We consider bivariate distributions that are specified in terms of a parametric copula function and nonparametric or semiparametric marginal distributions. The performance of two semiparametric estimation procedures based on censored data is discussed: maximum likelihood (ML) and two-stage pseudolikelihood (PML) estimation. The two-stage procedure involves less computation and it is of interest to see whether it is significantly less efficient than the full maximum likelihood approach. We also consider cases where the copula model is misspecified, in which case PML may be better. Extensive simulation studies demonstrate that in the absence of covariates, two-stage estimation is highly efficient and has significant robustness advantages for estimating marginal distributions. In some settings, involving covariates and a high degree of association between responses, ML is more efficient. For the estimation of association, PML does not offer an advantage.

Suggested Citation

  • Lawless, Jerald F. & Yilmaz, Yildiz E., 2011. "Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2446-2455, July.
  • Handle: RePEc:eee:csdana:v:55:y:2011:i:7:p:2446-2455
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    1. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    2. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
    3. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    4. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    5. Wenqing He & Jerald F. Lawless, 2005. "Bivariate location–scale models for regression analysis, with applications to lifetime data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(1), pages 63-78, February.
    6. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
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    Cited by:

    1. Denecke, Liesa & Müller, Christine H., 2011. "Robust estimators and tests for bivariate copulas based on likelihood depth," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2724-2738, September.

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