Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models

Jerald F. Lawless and Yildiz E. Yilmaz

Computational Statistics & Data Analysis, 2011, vol. 55, issue 7, 2446-2455

Abstract: We consider bivariate distributions that are specified in terms of a parametric copula function and nonparametric or semiparametric marginal distributions. The performance of two semiparametric estimation procedures based on censored data is discussed: maximum likelihood (ML) and two-stage pseudolikelihood (PML) estimation. The two-stage procedure involves less computation and it is of interest to see whether it is significantly less efficient than the full maximum likelihood approach. We also consider cases where the copula model is misspecified, in which case PML may be better. Extensive simulation studies demonstrate that in the absence of covariates, two-stage estimation is highly efficient and has significant robustness advantages for estimating marginal distributions. In some settings, involving covariates and a high degree of association between responses, ML is more efficient. For the estimation of association, PML does not offer an advantage.

Keywords: Semiparametric; maximum; likelihood; Model; misspecification; Pseudolikelihood; Clayton; copula; Gumbel-Hougaard; copula; Frank; copula (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:7:p:2446-2455

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