A randomized pairwise likelihood method for complex statistical inferences
Résumé
Pairwise likelihood methods are commonly used for inference in parametric sta-
tistical models in cases where the full likelihood is too complex to be used, such
as multivariate count data. Although pairwise likelihood methods represent a use-
ful solution to perform inference for intractable likelihoods, several computational
challenges remain. The pairwise likelihood function still requires the computation
of a sum over all pairs of variables and all observations, which may be prohibitive
in high dimensions. Moreover, it may be difficult to calculate confidence intervals
of the resulting estimators, as they involve summing all pairs of pairs and all of
the four-dimensional marginals. To alleviate these issues, we consider a randomized
pairwise likelihood approach, where only summands randomly sampled across ob-
servations and pairs are used for the estimation. In addition to the usual tradeoff
between statistical and computational efficiency, it is shown that, under a condition
on the sampling parameter, this two-way random sampling mechanism makes the
individual bivariate likelihood scores become asymptotically independent, allowing
more computationally efficient confidence intervals to be constructed. The proposed
approach is illustrated in tandem with copula-based models for multivariate count
data in simulations, and in real data from a transcriptome study.
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