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A modified weighted pairwise likelihood estimator for a class of random effects models

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  • K. Florios
  • I. Moustaki
  • D. Rizopoulos
  • V. Vasdekis

Abstract

Composite likelihood estimation has been proposed in the literature for handling intractable likelihoods. In particular, pairwise likelihood estimation has been recently proposed to estimate models with latent variables and random effects that involve high dimensional integrals. Pairwise estimators are asymptotically consistent and normally distributed but not the most efficient among consistent estimators. Vasdekis et al. (Biostatistics 15:677–689, 2014 ) proposed a weighted estimator that is found to be more efficient than the unweighted pairwise estimator produced by separate maximizations of pairwise likelihoods. In this paper, we propose a modification to that weighted estimator that leads to simpler computations and study its performance through simulations and a real application. Copyright Sapienza Università di Roma 2015

Suggested Citation

  • K. Florios & I. Moustaki & D. Rizopoulos & V. Vasdekis, 2015. "A modified weighted pairwise likelihood estimator for a class of random effects models," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 217-228, August.
    • Handle: RePEc:spr:metron:v:73:y:2015:i:2:p:217-228
    DOI: 10.1007/s40300-015-0070-7
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    References listed on IDEAS

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    5. Cristiano Varin, 2008. "On composite marginal likelihoods," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(1), pages 1-28, February.
    6. Katsikatsou, Myrsini & Moustaki, Irini & Yang-Wallentin, Fan & Jöreskog, Karl G., 2012. "Pairwise likelihood estimation for factor analysis models with ordinal data," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4243-4258.
    7. Sophia Rabe-Hesketh & Anders Skrondal & Andrew Pickles, 2002. "Reliable estimation of generalized linear mixed models using adaptive quadrature," Stata Journal, StataCorp LP, vol. 2(1), pages 1-21, February.
    8. Vasdekis, Vassilis G. S. & Rizopoulos, Dimitris & Moustaki, Irini, 2014. "Weighted pairwise likelihood estimation for a general class of random effects models," LSE Research Online Documents on Economics 56733, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Marco Alfó & Francesco Bartolucci, 2015. "Latent variable models for the analysis of socio-economic data," METRON, Springer;Sapienza Università di Roma, vol. 73(2), pages 151-154, August.

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