Maximization by Parts in Likelihood Inference
Working Paper No. 03-W19
Peter X.-K. Song, Yanquin Fan, and John D. Kalbfleish
ABSTRACT [article]
This paper presents and examines a new algorithm for solving a score equation for the maximum likelihood estimate in certain problems of practical interest. The method circumvents the need to compute second order derivatives of the full likelihood function. It exploits the structure of certain models that yield a natural decomposition of a very complicated likelihood function. In this decomposition, the first part is a log likelihood from a simply analyzed model and the second part is used to update estimates from
the first. Convergence properties of this fixed point algorithm are examined and asymptotics are derived for estimators obtained by using only a finite number of steps. Illustrative examples
considered in the paper include bivariate and multivariate Gaussian copula models, nonnormal random effects and state space models. Properties of the algorithm and of estimators are evaluated in simulation studies on a bivariate copula model and a nonnormal
linear random effects model.
Keywords and Phrases: Copula Models, Fixed-Point Algorithm, Information Dominance, Iterative Algorithm, Nonnormal Random effects, Score Equation, State Space Models