Comparison of performance measures for multivariate discrete models |
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Authors: | Nina Meinel |
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Institution: | (1) Chair of Statistics and Econometrics, Friedrich-Alexander-University Erlangen–Nuremberg, Lange Gasse 20, 90403 Nuremberg, Germany |
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Abstract: | For multivariate probit models, Spiess and Tutz suggest three alternative performance measures, which are all based on the
decomposition of the variation. The multivariate probit model can be seen as a special case of the discrete copula model.
This paper proposes some new measures based on the value of the likelihood function and the prediction-realization table.
In addition, it generalizes the measures from Spiess and Tutz for the discrete copula model. Results of a simulation study
designed to compare the different measures in various situations are presented. |
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Keywords: | Discrete copula model Multivariate probit model Goodness of fit measures Simulation |
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