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http://dx.doi.org/10.29220/CSAM.2020.27.3.377

Moments calculation for truncated multivariate normal in nonlinear generalized mixed models  

Lee, Seung-Chun (Department of Applied Statistics, Hanshin University)
Publication Information
Communications for Statistical Applications and Methods / v.27, no.3, 2020 , pp. 377-383 More about this Journal
Abstract
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.
Keywords
truncated multivariate normal; moment; nonlinear generalized mixed model;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
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