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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, asymptotic normality …
Persistent link: https://www.econbiz.de/10010377233
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A Class of Consistent Share Functions for Games in Coalition Structure
van den Brink, René; van der Laan, Gerard - 2001
external game between the coalitions. We show thatthese coalitionstructure share functions satisfy certain consistency … properties. Weprovide axiomatizations of this class of coalition structure sharefunctions using these consistency and …
Persistent link: https://www.econbiz.de/10010325005
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert; Massmann, Michael - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...
Persistent link: https://www.econbiz.de/10010325749
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Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
Christopeit, Norbert; Massmann, Michael - 2012
Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established …
Persistent link: https://www.econbiz.de/10010326230
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Consistency, Population Solidarity, and Egalitarian Solutions for TU-Games
van den Brink, Rene; Chun, Youngsub; Funaki, Yukihiko; … - 2012
reduced game consistency in addition to other standard properties. …
Persistent link: https://www.econbiz.de/10010326277
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Robust multivariate observation-driven filtering for a common stochastic trend: Theory and application
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2024
estimated via Gaussian quasi-maximum likelihood. We formally derive the theory for the consistency of the estimators in both …
Persistent link: https://www.econbiz.de/10015130131
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Score-driven time-varying parameter models with splinebased densities
van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan - 2025
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
Persistent link: https://www.econbiz.de/10015209990
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Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
. We derive considerably weaker conditions that can be used in practice to ensure the consistency of the maximum likelihood … estimator for a wide class of observation-driven time series models. Our consistency results hold for both correctly specified …
Persistent link: https://www.econbiz.de/10011586697
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A Time-Varying Parameter Model for Local Explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
the data generated by our model. Furthermore, we obtain the consistency and asymptotic normality of the maximum likelihood …
Persistent link: https://www.econbiz.de/10011932359
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Axiomatizations of the proportional division value
Zou, Zhengxing; van den Brink, Rene; Chun, Youngsub; … - 2019
satisfies proportional standardness and projection consistency. Finally, we provide characterizations of proportional …
Persistent link: https://www.econbiz.de/10012233946