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Multivariate mixtures of Erlangs for density estimation under censoring and truncation

Verbelen, Roel; Antonio, Katrien; Claeskens, Gerda - 2014

Persistent link: https://www.econbiz.de/10010485676

Maximum likelihood estimation of a spatial autoregressive Tobit model

Xu, Xingbai; Lee, Lung-fei - In: Journal of econometrics 188 (2015) 1, pp. 264-280

Persistent link: https://www.econbiz.de/10011500347

The generalized inverse Weibull distribution

Gusmão, Felipe; Ortega, Edwin; Cordeiro, Gauss - In: Statistical Papers 52 (2011) 3, pp. 591-619

Persistent link: https://www.econbiz.de/10009325000

Maximum likelihood estimation in a partially observed stratified regression model with censored data

Detais, Amélie; Dupuy, Jean-François - In: Annals of the Institute of Statistical Mathematics 63 (2011) 6, pp. 1183-1206

Persistent link: https://www.econbiz.de/10009325291

A log-linear regression model for the β-Birnbaum–Saunders distribution with censored data

Ortega, Edwin M.M.; Cordeiro, Gauss M.; Lemonte, Artur J. - In: Computational Statistics & Data Analysis 56 (2012) 3, pp. 698-718

The β-Birnbaum–Saunders (Cordeiro and Lemonte, 2011) and Birnbaum–Saunders (Birnbaum and Saunders, 1969a) distributions have been used quite effectively to model failure times for materials subject to fatigue and lifetime data. We define the log-β-Birnbaum–Saunders distribution by the...

Persistent link: https://www.econbiz.de/10011056473

Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models

Tinkl, Fabian - 2013

In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of … introduced by (Duan, 1997) which contains many commonly employed GARCH models as special cases. The conditions for consistency … normality ; consistency ; polynomial augmented GARCH models ; quasi-maximum likelihood estimation …

Persistent link: https://www.econbiz.de/10009725214

Maximum likelihood estimation for generalized autoregressive score models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 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, and asymptotic …

Persistent link: https://www.econbiz.de/10010250505

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/10011556144

Consistent estimation of drift parameter in diffusion model with misspecified volatility function

Jeong, Minsoo - In: Economics letters 211 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013172040

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022

robust filtering and forecasting. We provide sufficient conditions for the strong consistency and asymptotic normality of the …

Persistent link: https://www.econbiz.de/10012795401