Keynes (1911) derived general forms of probability density functions for which the “most probable value” is given by the arithmetic mean, the geometric mean, the harmonic mean, or the median. His approach was based on indirect (i.e., posterior) distributions and used a constant prior...

The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In...

We note that the existence of the maximum likelihood estimates for Poisson regression depends on the data configuration. Because standard software does not check for this problem, the practitioner may be surprised to find that in some applications estimation of the Poisson regression is...

Seemingly absent from the arsenal of currently available "nearly efficient" testing procedures for the unit root hypothesis, i.e. tests whose local asymptotic power functions are indistinguishable from the Gaussian power envelope, is a test admitting a (quasi-)likelihood ratio interpretation. We...