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On the Approximate Maximum Likelihood Estimation for Diffusion Processes

Chang, Jinyuan; Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2011

. Statist. 36 (2008) 906–937] proposal and analysis on the AMLE, we establish the consistency and convergence rate of the AMLE …

Persistent link: https://www.econbiz.de/10011108755

A new bounded log-linear regression model

Wang, HaiYing; Flournoy, Nancy; Kpamegan, Eloi - In: Metrika 77 (2014) 5, pp. 695-720

In this paper we introduce a new regression model in which the response variable is bounded by two unknown parameters. A special case is a bounded alternative to the four parameter logistic model. The four parameter model which has unbounded responses is widely used, for instance, in bioassays,...

Persistent link: https://www.econbiz.de/10010794017

A consistent method of estimation for the three-parameter Weibull distribution

Nagatsuka, Hideki; Kamakura, Toshinari; Balakrishnan, N. - In: Computational Statistics & Data Analysis 58 (2013) C, pp. 210-226

consistency over the entire parameter space. Through Monte Carlo simulations, we further show that the proposed method performs …

Persistent link: https://www.econbiz.de/10010595090

Quasi-maximum likelihood estimation of break point in high-dimensional factor models

Duan, Jiangtao; Bai, Jushan; Han, Xu - In: Journal of econometrics 233 (2023) 1, pp. 209-236

Persistent link: https://www.econbiz.de/10014340997

Asymptotic inference for a sign-double autoregressive (SDAR) model of order one

Iglesias, Emma M. - In: Econometric reviews 44 (2025) 3, pp. 312-334

Persistent link: https://www.econbiz.de/10015196603

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; 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/10015198647

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

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

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

Tinkl, Fabian - 2013 - [Aktualisierte Version]

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of … GARCH models as special cases. The results are obtained under mild conditions. -- Asymptotic normality ; consistency …

Persistent link: https://www.econbiz.de/10009738169

Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Gupta, Abhimanyu; Robinson, Peter M. - In: Journal of econometrics 202 (2018) 1, pp. 92-107

Persistent link: https://www.econbiz.de/10011974555