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Maximum simulated likelihood methods and applications

Greene, William H. (ed.); Hill, Rufus Carter (ed.) - 2010 - 1. ed.

Persistent link: https://www.econbiz.de/10008991759

Monitoring multivariate process variability with individual observations via penalised likelihood estimation

Yeh, Arthur B.; Li, Bo; Wang, Kaibo - In: International journal of production research 50 (2012) 22, pp. 6624-6638

Persistent link: https://www.econbiz.de/10009673531

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...

Persistent link: https://www.econbiz.de/10012216176

Optimum simple step-stress plans using reliability estimate

Ebrahem, Mohammed Al-Haj - In: METRON 70 (2012) 2, pp. 109-120

This paper presents optimum simple step-stress plans under the log-logistic cumulative exposure model. The likelihood function of the model parameters is derived, from which the Fisher information matrix and the asymptotic variance of the reliability estimate are obtained. Optimum times of...

Persistent link: https://www.econbiz.de/10011000653

Improved Birnbaum–Saunders inference under type II censoring

Barreto, Larissa Santana; Cysneiros, Audrey H.M.A.; … - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 68-81

The Birnbaum–Saunders distribution is useful for modeling reliability data. In this paper we obtain adjusted profile maximum likelihood estimators for the Birnbaum–Saunders distribution shape parameter under type II data censoring. We consider the adjustments to the profile likelihood...

Persistent link: https://www.econbiz.de/10011056441

Fractional cointegration rank estimation

Lasak, Katarzyna; Velasco, Carlos - 2014

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2,...,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration …

Persistent link: https://www.econbiz.de/10010244531

On an estimation method for an alternative fractionally cointegrated model

Carlini, Federico; Łasak, Katarzyna - 2014

In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...

Persistent link: https://www.econbiz.de/10010348412

Maximum likelihood estimation of the I(2) model under linear restrictions

Doornik, Jurgen A. - In: Econometrics : open access journal 5 (2017) 2, pp. 1-20

Estimation of the I(2) cointegrated vector autoregressive (CVAR) model is considered. Without further restrictions, estimation of the I(1) model is by reduced-rank regression (Anderson (1951)). Maximum likelihood estimation of I(2) models, on the other hand, always requires iteration. This paper...

Persistent link: https://www.econbiz.de/10011654460

Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models

Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30

This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...

Persistent link: https://www.econbiz.de/10011781891

Switching toward capital-intensive technologies in Finnish dairy farms

Pietola, Kyösti Sakari; Heikkilä, Anna-Maija - In: Agricultural economics : the journal of the … 33 (2005) 3, pp. 381-387

Persistent link: https://www.econbiz.de/10003312925

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