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On the occasional exactness of the distributional transform approximation for direct Gaussian copula models with discrete margins
Statistics & Probability Letters ( IF 0.9 ) Pub Date : 2021-05-20 , DOI: 10.1016/j.spl.2021.109159
John Hughes

The direct Gaussian copula model with discrete margins is appealing but poses computational challenges due to its intractable likelihood. We show that the distributional transform-based approximate likelihood is essentially exact for some variants of the model, and we propose a quantity that can be used to assess exactness for a given dataset.



中文翻译:

具有离散余量的直接高斯copula模型的分布变换逼近的偶尔精度

具有离散余量的直接高斯copula模型很吸引人,但由于其难以解决的可能性而给计算带来了挑战。我们表明,基于分布变换的近似似然对于模型的某些变体基本上是精确的,并且我们提出了可用于评估给定数据集准确性的数量。

更新日期:2021-05-26
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