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

Murray D. Smith, Peter G. Moffatt

Research output: Contribution to journalArticlepeer-review

Abstract

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.

Original languageEnglish
Pages (from-to)315-330
Number of pages16
JournalAustralian and New Zealand Journal of Statistics
Volume41
Issue number3
DOIs
Publication statusPublished - 01 Sept 1999
Externally publishedYes

Keywords

  • Bivariate logistic
  • Bivariate normal
  • Censoring
  • Correlation
  • Fisher information

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