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Feasible estimation of generalized linear mixed models (GLMM) with weak dependency between groups
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.ORCID-id: 0000-0002-3183-3756
2010 (engelsk)Manuskript (preprint) (Annet vitenskapelig)
Abstract [en]

This paper presents a two-step pseudo likelihood estimation technique for generalized linear mixed models with the random effects being correlated between groups. The core idea is to deal with the intractable integrals in the likelihood function by multivariate Taylor's approximation. The accuracy of the estimation technique is assessed in a Monte-Carlo study. An application of it with a binary response variable is presented using a real data set on credit defaults from two Swedish banks. Thanks to the use of two-step estimation technique, the proposed algorithm outperforms conventional pseudo likelihood algorithms in terms of computational time.

sted, utgiver, år, opplag, sider
2010.
Emneord [en]
PQL, Laplace approximation, interdependence, cluster errors, credit risk model.
HSV kategori
Forskningsprogram
Komplexa system - mikrodataanalys, Kreditriskmodellering
Identifikatorer
URN: urn:nbn:se:du-5112OAI: oai:dalea.du.se:5112DiVA, id: diva2:520282
Tilgjengelig fra: 2010-12-07 Laget: 2010-12-07 Sist oppdatert: 2021-11-12bibliografisk kontrollert

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Alam, Moudud

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