An algorithm for constructing high dimensional distributions from distributions of lower dimension

Stanislav Anatolyev, Renat Khabibullin and Artem Prokhorov

Economics Letters, 2014, vol. 123, issue 3, 257-261

Abstract: We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in each step using lower-dimensional distributions with a small number of parameters. In an application, the procedure provides excellent fit when the dimension is moderate, and remains operational when the conventional method fails.

Keywords: Pseudo-likelihood; Multivariate distribution; Copulas (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:3:p:257-261

DOI: 10.1016/j.econlet.2014.02.022

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