Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics Letters 123 (2014) 3, pp. 257-261
We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in...