Communications for Statistical Applications and Methods

  • 제27권3호
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  • Pages.377-383
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  • 2020
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Moments calculation for truncated multivariate normal in nonlinear generalized mixed models

  • 투고 : 2020.02.10
  • 심사 : 2020.03.07
  • 발행 : 2020.05.31
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초록

The likelihood-based inference in a nonlinear generalized mixed model often requires computing moments of truncated multivariate normal random variables. Many methods have been proposed for the computation using a recurrence relation or the moment generating function; however, these methods rely on high dimensional numerical integrations. The numerical method is known to be inefficient for high dimensional integral in accuracy. Besides the accuracy, the methods demand too much computing time to use them in practical analyses. In this note, a moment calculation method is proposed under an assumption of a certain covariance structure that occurred mostly in generalized mixed models. The method needs only low dimensional numerical integrations.

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참고문헌

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