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Good robust estimators can be tuned to combine a high breakdown point and a specified asymptotic efficiency at a central model. This happens in regression with MM- and τ-estimators among others. However, the finite-sample efficiency of these estimators can be much lower than the asymptotic one....
Persistent link: https://www.econbiz.de/10011117680
The need to estimate structured covariance matrices arises in a variety of applications and the problem is widely studied in statistics. A new method is proposed for regularizing the covariance structure of a given covariance matrix whose underlying structure has been blurred by random noise,...
Persistent link: https://www.econbiz.de/10010730224
An asymptotic expression for the Kullback–Leibler (KL) divergence measure of multivariate skew-t distributions (MST) is derived. This novel class of flexible family distributions incorporates a shape and degree of freedom parameters, in order to manipulate the skewness and heavy-tail presence...
Persistent link: https://www.econbiz.de/10010874027
Convergence of the expectation-maximization (EM) algorithm to a global optimum of the marginal log likelihood function for unconstrained latent variable models with categorical indicators is presented. The sufficient conditions under which global convergence of the EM algorithm is attainable are...
Persistent link: https://www.econbiz.de/10010848139
This paper uses a decision theoretic approach for updating a probability measure representing beliefs about an unknown parameter. A cumulative loss function is considered, which is the sum of two terms: one depends on the prior belief and the other one on further information obtained about the...
Persistent link: https://www.econbiz.de/10010848643
Social scientists often consider multiple empirical models of the same process. When these models are parametric and non-nested, the null hypothesis that two models fit the data equally well is commonly tested using methods introduced by Vuong (Econometrica 57(2):307–333, <CitationRef CitationID="CR30">1989</CitationRef>) and Clarke (Am...</citationref>
Persistent link: https://www.econbiz.de/10010993080
This paper proposes a new estimation algorithm for the uni-variate Cox–Ingersoll–Ross (CIR) model in the state-space framework. The selection criterion among parameters is the likelihood but some parameters may have the same value; thus the initialization of the optimization routine is...
Persistent link: https://www.econbiz.de/10010933655
Bayesian networks (BNs) have become an essential tool for reasoning under uncertainty in complex models. In particular, the subclass of Gaussian Bayesian networks (GBNs) can be used to model continuous variables with Gaussian distributions. Here we focus on the task of learning GBNs from data....
Persistent link: https://www.econbiz.de/10011042078