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Feasible estimation of generalized linear mixed models (GLMM) with weak dependency between groups
Dalarna University, School of Technology and Business Studies, Statistics.ORCID iD: 0000-0002-3183-3756
2010 (English)Manuscript (preprint) (Other academic)
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.

Place, publisher, year, edition, pages
2010.
Keyword [en]
PQL, Laplace approximation, interdependence, cluster errors, credit risk model.
National Category
Probability Theory and Statistics
Research subject
Komplexa system - mikrodataanalys, Kreditriskmodellering
Identifiers
URN: urn:nbn:se:du-5112OAI: oai:dalea.du.se:5112DiVA: diva2:520282
Available from: 2010-12-07 Created: 2010-12-07 Last updated: 2015-06-08Bibliographically approved

Open Access in DiVA

fulltext(174 kB)428 downloads
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Alam, Moudud
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Total: 428 downloads
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf