|
View: |
Part 1: Document Description
|
|
Citation |
|
|---|---|
|
Title: |
Replication data for: Extending the rank likelihood for semiparametric copula estimation |
|
Identification Number: |
doi:10.7910/DVN/G4WZFP |
|
Distributor: |
Harvard Dataverse |
|
Date of Distribution: |
2007-11-28 |
|
Version: |
1 |
|
Bibliographic Citation: |
Peter D. Hoff, 2007, "Replication data for: Extending the rank likelihood for semiparametric copula estimation", https://doi.org/10.7910/DVN/G4WZFP, Harvard Dataverse, V1, UNF:3:IA0sBg0nAMB7CZi0YV10ig== [fileUNF] |
|
Citation |
|
|
Title: |
Replication data for: Extending the rank likelihood for semiparametric copula estimation |
|
Identification Number: |
doi:10.7910/DVN/G4WZFP |
|
Authoring Entity: |
Peter D. Hoff (Department of Statistics, University of Washington) |
|
Date of Production: |
2007 |
|
Distributor: |
Harvard Dataverse |
|
Distributor: |
Institute for Mathematical Statistics |
|
Date of Deposit: |
2007-10-01 |
|
Date of Distribution: |
2007 |
|
Holdings Information: |
https://doi.org/10.7910/DVN/G4WZFP |
|
Study Scope |
|
|
Keywords: |
Bayesian inference, latent variable model, marginal likelihood, Markov chain Monte Carlo, multivariate estimation, polychoric correlation, rank likelihood, sufficiency |
|
Abstract: |
Quantitative studies in many fields involve the analysis of multivariate data of diverse types, including measurements that we may consider binary, ordinal and continuous. One approach to the analysis of such mixed data is to use a copula model, in which the associations among the variables are parameterized separately from their univariate marginal distributions. The purpose of this article is to provide a simple, general method of semiparametric inference for copula models via a type of rank likelihood function for the association parameters. The proposed method of inference can be viewed as a generalization of marginal likelihood estimation, in which inference for a parameter of interest is based on a summary statistic whose sampling distribution is not a function of any nuisance parameters. In the context of copula estimation, the extended rank likelihood is a function of the association parameters only and its applicability does not depend on any assumptions about the marginal distributions of the data, thus making it appropriate for the analysis of mixed continuous and discrete data with arbitrary marginal distributions. Estimation and inference for parameters of the Gaussian copula are available via a straightforward Markov chain Monte Carlo algorithm based on Gibbs sampling. Specification of prior distributions or a parametric form for the univariate marginal distributions of the data is not necessary. |
|
Notes: |
Subject: STANDARD DEPOSIT TERMS 1.0 Type: DATAPASS:TERMS:STANDARD:1.0 Notes: This study was deposited under the of the Data-PASS standard deposit terms. A copy of the usage agreement is included in the file section of this study.; |
|
Methodology and Processing |
|
|
Sources Statement |
|
|
Data Access |
|
|
Notes: |
<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a> |
|
Other Study Description Materials |
|
|
Related Publications |
|
|
Citation |
|
|
Title: |
Peter D. Hoff. 2007. "Extending the rank likelihood for semiparametric copula estimation." Ann. Appl. Statist. Volume 1, Number 1 (2007), 265-283. <a href="http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdfview_1&handle=euclid.aoas/1183143739" target= "_new">article available here</a> |
|
Bibliographic Citation: |
Peter D. Hoff. 2007. "Extending the rank likelihood for semiparametric copula estimation." Ann. Appl. Statist. Volume 1, Number 1 (2007), 265-283. <a href="http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdfview_1&handle=euclid.aoas/1183143739" target= "_new">article available here</a> |
|
File Description--f655286 |
|
|
File: data.tab |
|
|
|
|
Notes: |
UNF:3:IA0sBg0nAMB7CZi0YV10ig== |
|
Data file for this study |
|
|
List of Variables: | |
|
Variables |
|
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:TGg3KivRNS8KBquzg/d9Fg== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:wDHqLHysuYcGXJJhpS1a7A== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:gHiWNg39wxuj2ilQ2Irvag== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:pc4732myGTELNrRKWq3aXg== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:Q06zlA68VseiXtkxY1i9PA== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:z6o8ThZrF0etgSqTVv5Y6A== |
|
f655286 Location: |
Variable Format: numeric Notes: UNF:3:QsDqy9jtp0XVnMB4Mn9+3w== |
|
Label: |
data.txt |
|
Text: |
Data file for this study |
|
Notes: |
text/plain; charset=US-ASCII |
|
Label: |
R-code.txt |
|
Text: |
Program file for this study |
|
Notes: |
text/plain; charset=US-ASCII |