Feasible estimation of generalized linear mixed models (GLMM) with weak dependency between groups

• This paper presents a two-step pseudo likelihood estimation for generalized linear mixed models with the random effects being correlated between groups. The core idea is to deal with the random intractable integrals in  the likelihood function by multivariate Taylor's approximation. The accuracy of the estimation technique is assessed in a Monte-Carlo study: An application of it with binary response variable is presented using a real dara set on credit defaults from two Swedish banks. Thanks to   the use of two-step estimation technique, the proposed algorithm outperforms conventional likelihood algoritms in terms of computational time.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

Nyckelord

PQL

Laplace approximation

interdependence

cluster errrors

credit risk model

SOCIAL SCIENCES

SAMHÄLLSVETENSKAP

Statistics

Statistik

Statistics

Statistik

Kreditriskmodellering

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