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Fast precision estimation in high‐dimensional multivariate joint models
Author(s) -
Nassiri Vahid,
Ivanova Anna,
Molenberghs Geert,
Verbeke Geert
Publication year - 2017
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/bimj.201600241
Subject(s) - multivariate statistics , pairwise comparison , computation , joint (building) , computer science , estimation , statistics , multivariate analysis , algorithm , mathematics , engineering , architectural engineering , systems engineering
A fast way is proposed based on the multiple outputation idea (Hoffman et al., [Hoffman, E. B., 2001]; Follmann et al., [Follmann, D., 2003]) to calculate the precision of parameter estimates for high‐dimensional multivariate joint models using a pairwise approach (Fieuws and Verbeke, [Fieuws, S., 2006]; Fieuws et al., [Fieuws, S., 2007]). Simulation results as well as data analysis shows possibly more than 2500 times faster computations using the proposed method. In our real data illustration, the time gain is more than 330 times.