Maximum likelihood estimation of multinomial probit factor analysis models for multivariate t-distribution

被引：0

作者：

Jie Jiang

Xinsheng Liu

Keming Yu

机构：

[1] Nanjing University of Aeronautics and Astronautics,State Key Laboratory of Mechanics and Control of Mechanical Structures, Institute of Nano Science

[2] Nanjing University of Aeronautics and Astronautics,College of Science

[3] Brunel University,Department of Mathematical Sciences

[4] Shihezi University,Business School

来源：

Computational Statistics | 2013年 / 28卷

关键词：

Multinomial probit model; Factor analysis; MCEM algorithm; -distribution;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We propose a model for multinomial probit factor analysis by assuming t-distribution error in probit factor analysis. To obtain maximum likelihood estimation, we use the Monte Carlo expectation maximization algorithm with its M-step greatly simplified under conditional maximization and its E-step made feasible by Monte Carlo simulation. Standard errors are calculated by using Louis’s method. The methodology is illustrated with numerical simulations.

引用

页码：1485 / 1500

页数：15

共 50 条

[1] Maximum likelihood estimation of multinomial probit factor analysis models for multivariate t-distribution
Jiang, Jie
Liu, Xinsheng
Yu, Keming
[J]. COMPUTATIONAL STATISTICS, 2013, 28 (04) : 1485 - 1500
[2] Maximum Likelihood Estimation of Tobit Factor Analysis for Multivariate t-Distribution
Zhou, Xingcai
Tan, Changchun
[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2010, 39 (01) : 1 - 16
[3] An Alternating Approach of Maximum Likelihood Estimation for Mixture of Multivariate Skew t-Distribution
Kim, Seung-Gu
[J]. KOREAN JOURNAL OF APPLIED STATISTICS, 2014, 27 (05) : 819 - 831
[4] Recursive maximum likelihood estimation with t-distribution noise model
Sun, Lu
Ho, Weng Khuen
Ling, Keck Voon
Chen, Tengpeng
Maciejowski, Jan
[J]. AUTOMATICA, 2021, 132 (132)
[5] A CURIOUS LIKELIHOOD IDENTITY FOR THE MULTIVARIATE T-DISTRIBUTION
KENT, JT
TYLER, DE
VARDI, Y
[J]. COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 1994, 23 (02) : 441 - 453
[6] ROBUST FACTOR ANALYSIS USING THE MULTIVARIATE t-DISTRIBUTION
Zhang, Jianchun
Li, Jia
Liu, Chuanhai
[J]. STATISTICA SINICA, 2014, 24 (01) : 291 - 312
[7] Global maximum likelihood estimation procedure for multinomial probit (MNP) model parameters
Liu, YH
Mahmassani, HS
[J]. TRANSPORTATION RESEARCH PART B-METHODOLOGICAL, 2000, 34 (05) : 419 - 449
[8] Partial maximum likelihood estimation of spatial probit models
Wang, Honglin
Iglesias, Emma M.
Wooldridge, Jeffrey M.
[J]. JOURNAL OF ECONOMETRICS, 2013, 172 (01) : 77 - 89
[9] QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF MULTIVARIATE PROBIT MODELS - FARM COUPLES LABOR PARTICIPATION
KIMHI, A
[J]. AMERICAN JOURNAL OF AGRICULTURAL ECONOMICS, 1994, 76 (04) : 828 - 835
[10] Composite Likelihood Estimation for Multivariate Probit Latent Traits Models
Feddag, M. -L.
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 42 (14) : 2551 - 2566

← 1 2 3 4 5 →