TY - JOUR

T1 - Fisher's information on the correlation coefficient in bivariate logistic models

AU - Smith, Murray D.

AU - Moffatt, Peter G.

PY - 1999/9/1

Y1 - 1999/9/1

N2 - From a theoretical perspective, the paper considers the properties of the maximum likelihood estimator of the correlation coefficient, principally regarding precision, in various types of bivariate model which are popular in the applied literature. The models are: 'Full-Full', in which both variables are fully observed; 'Censored-Censored', in which both of the variables are censored at zero; and finally, 'Binary-Binary', in which both variables are observed only in sign. For analytical convenience, the underlying bivariate distribution which is assumed in each of these cases is the bivariate logistic. A central issue is the extent to which censoring reduces the level of Fisher's information pertaining to the correlation coefficient, and therefore reduces the precision with which this important parameter can be estimated.

AB - From a theoretical perspective, the paper considers the properties of the maximum likelihood estimator of the correlation coefficient, principally regarding precision, in various types of bivariate model which are popular in the applied literature. The models are: 'Full-Full', in which both variables are fully observed; 'Censored-Censored', in which both of the variables are censored at zero; and finally, 'Binary-Binary', in which both variables are observed only in sign. For analytical convenience, the underlying bivariate distribution which is assumed in each of these cases is the bivariate logistic. A central issue is the extent to which censoring reduces the level of Fisher's information pertaining to the correlation coefficient, and therefore reduces the precision with which this important parameter can be estimated.

KW - Bivariate logistic

KW - Bivariate normal

KW - Censoring

KW - Correlation

KW - Fisher information

UR - http://www.scopus.com/inward/record.url?scp=0033460410&partnerID=8YFLogxK

U2 - 10.1111/1467-842X.00086

DO - 10.1111/1467-842X.00086

M3 - Article

AN - SCOPUS:0033460410

SN - 1369-1473

VL - 41

SP - 315

EP - 330

JO - Australian and New Zealand Journal of Statistics

JF - Australian and New Zealand Journal of Statistics

IS - 3

ER -