Efficient estimation of parameters in marginals in semiparametric multivariate models Preliminary and Incomplete – Please do not cite

Efficient estimation of parameters in marginals in semiparametric multivariate models∗

We consider a general multivariate model where univariate marginal distributions are known up to a common parameter vector and we are interested in estimating that vector without assuming anything about the joint distribution, except for the marginals. If we assume independence between the marginals and maximize the resulting quasilikelihood, we obtain a consistent but inefficient estimate. If ...

Estimating and Evaluating the Predictive Abilities of Semiparametric Multivariate Models with Application to Risk Management

In this paper we propose a new semiparametric procedure for estimating multivariate models with conditioning variables. The semiparametric model is based on the parametric conditional copula of Patton (2005a) and nonparametric conditional marginals. To avoid the curse of dimensionality in the estimation of the latter, we propose a dimension reduction technique. The marginals are estimated using...

Robust high-dimensional semiparametric regression using optimized differencing method applied to the vitamin B2 production data

Background and purpose: By evolving science, knowledge, and technology, we deal with high-dimensional data in which the number of predictors may considerably exceed the sample size. The main problems with high-dimensional data are the estimation of the coefficients and interpretation. For high-dimension problems, classical methods are not reliable because of a large number of predictor variable...

Preliminary and Incomplete Please do not cite Heterogeneous Learning and the Targeting of Marketing Communication for New Products

Efficiency transfer for regression models with responses missing at random

We consider independent observations on a random pair (X,Y ), where the response Y is allowed to be missing at random but the covariate vector X is always observed. We demonstrate that characteristics of the conditional distribution of Y given X can be estimated efficiently using complete case analysis, i.e., one can simply omit incomplete cases and work with an appropriate efficient estimator ...