Results 1 to 10 of about 175,146 (298)
Efficient EM Estimation for the Pogit Model via Polya-Gamma Augmentation [PDF]
EntropyThe Poisson-logistic (pogit) model is widely used for count data with latent intensities, with applications including under-reporting correction and share-of-wallet estimation, yet existing estimation methods do not scale well to large datasets.
Iván Gutiérrez +2 more
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Mean square convergence rates for maximum quasi-likelihood estimator [PDF]
Stochastic Systems, 2015 In this note we study the behavior of maximum quasilikelihood estimators (MQLEs) for a class of statistical models, in which only knowledge about the first two moments of the response variable is assumed.
Arnoud V. den Boer, Bert Zwart
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Semiparametric quasi-likelihood estimation with missing data [PDF]
Communications in Statistics - Theory and Methods, 2015 AbstractThis article develops quasi-likelihood estimation for generalized varying coefficient partially linear models when the response is not always observable. This article considers two estimation methods and shows that under the assumption of selection on the observables the resulting estimators are asymptotically normal. As an application of these
Bravo, Francesco, Jacho-Chavez, David T.
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Quasi-Likelihood and/or Robust Estimation in High Dimensions
Statistical Science, 2013 We consider the theory for the high-dimensional generalized linear model with the Lasso. After a short review on theoretical results in literature, we present an extension of the oracle results to the case of quasi-likelihood loss.
Müller, Patric, van de Geer, Sara
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A review of R-packages for random-intercept probit regression in small clusters [PDF]
Frontiers in Applied Mathematics and Statistics, 2016 Generalized Linear Mixed Models (GLMMs) are widely used to model clustered categorical outcomes. To tackle the intractable integration over the random effects distributions, several approximation approaches have been developed for likelihood-based ...
Haeike Josephy, Tom Loeys, Yves Rosseel
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Quasi-Maximum Exponential Likelihood Estimation of Conditional Quantiles for GARCH Models Based on High-Frequency Augmented Data [PDF]
EntropyGARCH models play a fundamental role in modeling time-varying volatility in financial return series. In practice, financial returns are also well known to exhibit heavy-tailed distributions, which naturally motivates the use of quasi-maximum exponential ...
Zhenming Zhang +3 more
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Quasi-likelihood Estimation in Fractional Levy SPDEs from Poisson Sampling
European Journal of Mathematical Analysis, 2022 We study the quasi-likelihood estimator of the drift parameter in the stochastic partial differential equations driven by a cylindrical fractional Levy process when the process is observed at the arrival times of a Poisson process.
Jaya P. N. Bishwal
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One-step Local Quasi-likelihood Estimation [PDF]
Journal of the Royal Statistical Society Series B: Statistical Methodology, 1999 Summary Local quasi-likelihood estimation is a useful extension of local least squares methods, but its computational cost and algorithmic convergence problems make the procedure less appealing, particularly when it is iteratively used in methods such as the back-fitting algorithm, cross-validation and bootstrapping.
Jianqing Fan, J. Chen
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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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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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