Likelihood Analysis of Gaussian Copula Distributions for Mixed Data via a Parameter-Expanded Monte Carlo EM (PX-MCEM) Algorithm

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atmire.migration.oldid4924
dc.contributor.advisorde Leon, Alexander
dc.contributor.advisorYan, Ying
dc.contributor.authorRen, Mingchen
dc.contributor.committeememberLu, Xuewen
dc.contributor.committeememberAmbagaspitiya, Rohana
dc.date.accessioned2016-09-20T16:41:22Z
dc.date.available2016-09-20T16:41:22Z
dc.date.issued2016
dc.date.submitted2016en
dc.description.abstractMixed discrete and continuous data arise in a variety of settings. In this thesis, we adopt so-called Gaussian copula distributions (GCDs) as a general model for binary and continuous variables. The attractive feature of GCDs is their use of Gaussian copulas to separately model dependencies between variables, thereby preserving the variables' distinct marginal properties. We employ an efficient approach to maximum likelihood estimation for the model via a parameter-expanded Monte Carlo EM (MCEM) algorithm. By doing so, we not only avoid the direct evaluation of the likelihood function, which involves computing multivariate normal probabilities, but also improve the computational efficiency of the algorithm. Another advantage of the PX-MCEM algorithm is that it has an analytically tractable M-step, and hence does not require numerical optimization techniques. Based on simulations and an application to a breast cancer dataset, we show that the estimates are reasonably unbiased and their sampling variabilities can be accurately estimated by their bootstrapped standard errors.en_US
dc.identifier.citationRen, M. (2016). Likelihood Analysis of Gaussian Copula Distributions for Mixed Data via a Parameter-Expanded Monte Carlo EM (PX-MCEM) Algorithm (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/26765en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/26765
dc.identifier.urihttp://hdl.handle.net/11023/3316
dc.language.isoeng
dc.publisher.facultyGraduate Studies
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.subjectStatistics
dc.subject.classificationGaussian Copula distributionen_US
dc.subject.classificationParameter-Expandeden_US
dc.subject.classificationMixed dataen_US
dc.titleLikelihood Analysis of Gaussian Copula Distributions for Mixed Data via a Parameter-Expanded Monte Carlo EM (PX-MCEM) Algorithm
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
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