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An algorithm for constructing high dimensional distributions from distributions of lower dimension

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  • Anatolyev, Stanislav
  • Khabibullin, Renat
  • Prokhorov, Artem

Abstract

We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in each step using lower-dimensional distributions with a small number of parameters. In an application, the procedure provides excellent fit when the dimension is moderate, and remains operational when the conventional method fails.

Suggested Citation

  • Anatolyev, Stanislav & Khabibullin, Renat & Prokhorov, Artem, 2014. "An algorithm for constructing high dimensional distributions from distributions of lower dimension," Economics Letters, Elsevier, vol. 123(3), pages 257-261.
  • Handle: RePEc:eee:ecolet:v:123:y:2014:i:3:p:257-261
    DOI: 10.1016/j.econlet.2014.02.022
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    References listed on IDEAS

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    6. Adelchi Azzalini & Antonella Capitanio, 2003. "Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t‐distribution," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 367-389, May.
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    8. 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.
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    Cited by:

    1. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.

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    More about this item

    Keywords

    Pseudo-likelihood; Multivariate distribution; Copulas;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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