Simulation-based Estimation Methods for Financial Time Series Models [PDF]
This chapter overviews some recent advances on simulation-based methods of estimating financial time series models that are widely used in financial economics.
Jun Yu
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Hybrid of Restricted and Penalized Maximum Likelihood Method for Efficient Genome-Wide Association Study. [PDF]
Genes (Basel), 2020 Ren W, Liang Z, He S, Xiao J.
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The estimation of the hazard function of earthquakes in aceh province with likelihood approach
DesimalIn this article, we propose a novel application of the single decrement method with a likelihood approach to estimate the hazard function of earthquake events in Aceh province.
Ikhsan Maulidi +4 more
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Maximum likelihood method for fitting a sum of exponentials to experimental data [PDF]
Maximum likelihood method for fitting sum of expotentials to experimental ...
Beauregard, R. A.
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, 2010 In this paper, the maximum Lq-likelihood estimator (MLqE), a new parameter estimator based on nonextensive entropy [Kibernetika 3 (1967) 30–35] is introduced. The properties of the MLqE are studied via asymptotic analysis and computer simulations. The behavior of the MLqE is characterized by the degree of distortion q applied to the assumed model. When
FERRARI, Davide, Y. Yang
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An algorithm for maximum likelihood estimation using an efficient method for approximating sensitivities [PDF]
An algorithm for maximum likelihood (ML) estimation is developed primarily for multivariable dynamic systems. The algorithm relies on a new optimization method referred to as a modified Newton-Raphson with estimated sensitivities (MNRES).
Murphy, P. C.
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The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance [PDF]
Estimating financial risk is a critical issue for banks and insurance companies. Recently, quantile estimation based on Extreme Value Theory (EVT) has found a successful domain of application in such a context, outperforming other approaches.
Davide Ferrari, Sandra Paterlini
core
Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes [PDF]
This paper determines coverage probability errors of both delta method and parametric bootstrap confidence intervals (CIs) for the covariance parameters of stationary long-memory Gaussian time series.
Donald W.K. Andrews, Offer Lieberman
core
PERBANDINGAN ESTIMASI KEMAMPUAN LATEN ANTARA METODE MAKSIMUM LIKELIHOOD DAN METODE BAYES
Jurnal Penelitian dan Evaluasi Pendidikan, 2015 Studi ini bertujuan untuk membandingkan ketepatan estimasi kemampuan laten (latent trait) pada model logistik dengan metode maksimum likelihood (ML) gabungan dan bayes.
Heri Retnawati
doaj
A maximum-likelihood method to estimate a single ADC value of lesions using diffusion MRI. [PDF]
Magn Reson Med, 2016 Jha AK, Rodríguez JJ, Stopeck AT.
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