Results 21 to 30 of about 1,338,681 (301)
Asymptotic and Finite Sample Properties for Multivariate Rotated GARCH Models
Econometrics, 2021 This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of RBEKK, the unconditional covariance matrix is estimated in the first step to rotate the observed ...
Manabu Asai +3 more
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Quasi-likelihood and Optimal Estimation [PDF]
, 2010 Let \(\Theta\) be an open subset of \(R^ p\) and let \({\mathcal P}=\{{\mathcal P}_{\theta}\}\) be a union of parametric families of probability measures, each family being indexed by the same parameter \(\theta\in \Theta\). Let \(\{X_ t:\) \(0\leq t\leq T\}\) be a sample in discrete or continuous time which is drawn from some process taking values in \
Godambe, V. P., Heyde, C. C.
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Semi-parametric estimation for ARCH models
Alexandria Engineering Journal, 2018 In this paper, we conduct semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH) model with Quasi likelihood (QL) and Asymptotic Quasi-likelihood (AQL) estimation methods.
Raed Alzghool, Loai M. Al-Zubi
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A QUASI-LIKELIHOOD APPROACH TO PARAMETER ESTIMATION FOR SIMULATABLE STATISTICAL MODELS
Image Analysis and Stereology, 2014 This paper introduces a parameter estimation method for a general class of statistical models. The method exclusively relies on the possibility to conduct simulations for the construction of interpolation-based metamodels of informative empirical ...
Markus Baaske +2 more
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The Quasi-score statistic in quasi-likelihood model [PDF]
, 2009 In quasi-likelihood model, we propose the quasi-score statistic to establish test procedure for testing the hypothesis that whether the link function is correct or not.
Wu, Jong-wuu; Lee, Wen-chuan
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Estimation of Realized Asymmetric Stochastic Volatility Models Using Kalman Filter
Econometrics, 2023 Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive.
Manabu Asai
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Robust-BD Estimation and Inference for General Partially Linear Models
Entropy, 2017 The classical quadratic loss for the partially linear model (PLM) and the likelihood function for the generalized PLM are not resistant to outliers. This inspires us to propose a class of “robust-Bregman divergence (BD)” estimators of both the parametric
Chunming Zhang, Zhengjun Zhang
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Asymptotic optimality of the quasi-score estimator in a class of linear score estimators [PDF]
, 2006 We prove that the quasi-score estimator in a mean-variance model is optimal in the class of (unbiased) linear score estimators, in the sense that the difference of the asymptotic covariance matrices of the linear score and quasi-score estimator is ...
Kukush, Alexander, Schneeweiß, Hans
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Partial quasi-likelihood analysis [PDF]
Japanese Journal of Statistics and Data Science, 2018 The quasi likelihood analysis is generalized to the partial quasi likelihood analysis. Limit theorems for the quasi likelihood estimators, especially the quasi Bayesian estimator, are derived in the situation where existence of a slow mixing component prohibits the Rosenthal type inequality from applying to the derivation of the polynomial type large ...
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E-Jurnal Matematika, 2013 Poisson regression can be used to analyze count data, with assuming equidispersion. However, in the case of overdispersion often occur in the count data.
DESAK PUTU PRAMI MEITRIANI +2 more
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