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Variance reduction in multiparameter likelihood models

Cheng, Ming-yen; Peng, Liang - In: Journal of the American Statistical Association : JASA 102 (2007) 477, pp. 293-304

Persistent link: https://www.econbiz.de/10003431163

A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data

Liu, Cheng; Tang, Cheng Yong - In: Journal of econometrics 180 (2014) 2, pp. 217-232

Persistent link: https://www.econbiz.de/10010433385

Maximum likelihood estimation of covariance matrices with constraints on the efficient frontier

Yilmaz, Hilal; Pearson, Neil D. - In: International journal of computational economics and … 6 (2016) 1, pp. 71-92

Persistent link: https://www.econbiz.de/10011588856

Realized BEKK-CAW models

Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10014288366

The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE

Philipps, Collin S. - In: Econometric reviews 41 (2022) 1, pp. 99-114

Persistent link: https://www.econbiz.de/10013167586

Some propositions in the maximum likelihood estimation of truncated regression models

Kouassi, Eugène; Akinkugbe, Oluyele F.; Lexi, Sethlare; … - In: The empirical economics letters : a monthly … 18 (2019) 6, pp. 671-689

Persistent link: https://www.econbiz.de/10012314706

Improving point and interval estimates of monotone functions by rearrangement

Chernozhukov, Victor (contributor); … - 2008

Suppose that a target function is monotonic, namely weakly increasing, and an original estimate of this target function is available, which is not weakly increasing. Many common estimation methods used in statistics produce such estimates. We show that these estimates can always be improved with...

Persistent link: https://www.econbiz.de/10003739689