Asymptotic Robustness Study of the Polychoric Correlation Estimation
نویسندگان
چکیده
Asymptotic robustness against misspecification of the underlying distribution for the polychoric correlation estimation is studied. The asymptotic normality of the pseudo-maximum likelihood estimator is derived using the two-step estimation procedure. The t distribution assumption and the skew-normal distribution assumption are used as alternatives to the normal distribution assumption in a numerical study. The numerical results show that the underlying normal distribution can be substantially biased, even though skewness and kurtosis are not large. The skew-normal assumption generally produces a lower bias than the normal assumption. Thus, it is worth using a non-normal distributional assumption if the normal assumption is dubious.
منابع مشابه
A Comparison of Maximum Likelihood and Expected A Posteriori Estimation for Polychoric Correlation Using Monte Carlo Simulation
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