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EnglishIn this article, we use the cross-entropy method for noisy optimization for fitting generalized linear multilevel models through maximum likelihood. We propose specifications of the instrumental distributions for positive and bounded parameters that improve the computational performance. We also introduce a new stopping criterion, which has the advantage of being problem-independent. In a second step we find, by means of extensive Monte Carlo experiments, the most suitable values of the input parameters of the algorithm. Finally, we compare the method to the benchmark estimation technique based on numerical integration. The cross-entropy approach turns out to be preferable from both the statistical and the computational point of view. In the last part of the article, the method is used to model the probability of firm exits in the healthcare industry in Italy. Supplemental materials are available online.
A Cross-Entropy Approach to the Estimation of Generalised Linear Multilevel Models / Bee, Marco; Espa, Giuseppe; Giuliani, Diego; Santi, Flavio. - In: JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS. - ISSN 1061-8600. - STAMPA. - 2017:3(2017), pp. 695-708. [10.1080/10618600.2016.1278003]
| Titolo: | A Cross-Entropy Approach to the Estimation of Generalised Linear Multilevel Models | |
| Autori: | Bee, Marco; Espa, Giuseppe; Giuliani, Diego; Santi, Flavio | |
| Autori Unitn: | ||
| Titolo del periodico: | JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS | |
| Anno di pubblicazione: | 2017 | |
| Numero e parte del fascicolo: | 3 | |
| Codice identificativo Scopus: | 2-s2.0-85021094280 | |
| Codice identificativo WOS: | WOS:000410916600021 | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1080/10618600.2016.1278003 | |
| Handle: | http://hdl.handle.net/11572/164732 | |
| Citazione: | A Cross-Entropy Approach to the Estimation of Generalised Linear Multilevel Models / Bee, Marco; Espa, Giuseppe; Giuliani, Diego; Santi, Flavio. - In: JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS. - ISSN 1061-8600. - STAMPA. - 2017:3(2017), pp. 695-708. [10.1080/10618600.2016.1278003] | |
| Appare nelle tipologie: | 03.1 Articolo su rivista (Journal article) |
File in questo prodotto:
| File | Descrizione | Tipologia | Licenza | |
|---|---|---|---|---|
| multilevelJCGSR1supp.pdf | Post-print referato (Refereed author’s manuscript) | Tutti i diritti riservati (All rights reserved) | Open Access Visualizza/Apri | |
| A Cross Entropy Approach to the Estimation of Generalized Linear Multilevel Models.pdf | Versione editoriale (Publisher’s layout) | Tutti i diritti riservati (All rights reserved) | Administrator |
http://hdl.handle.net/11572/164732
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