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Author : D. T. Pham
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (897 download)
Download or read book Maximum Likelihood Estimation for Multivariate Autoregressive Model written by D. T. Pham and published by . This book was released on 1990 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M. S. Phadke
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (227 download)
Download or read book Maximum Likelihood Estimation of Multivariate Autoregressive-Moving Average Models written by M. S. Phadke and published by . This book was released on 1977 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Algorithms for computing the exact likelihood function of n successive observation vectors from an s-variate autoregressive moving average process of order (p, q) are developed. A quasi-Newton method is used to maximize the likelihood function with respect to the parameters of the process. Monte Carlo simulations are performed to compare the parameter estimates obtained by maximizing the exact likelihood function versus those obtained by maximizing various approximate forms of the likelihood function. (Author).
Author : Rusdu Saracoglu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (92 download)
Download or read book The Maximum Likelihood Estimation of Parameters in Mixed Autoregressive Moving-average Multivariate Models written by Rusdu Saracoglu and published by . This book was released on 1977 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rüşdü Saraçoğlu
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (2 download)
Download or read book The Maximum Likelihood Estimation of Parameters in Mixed Autoregressive Moving-average Multivariate Models written by Rüşdü Saraçoğlu and published by . This book was released on 1977 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: "No abstract available"--Federal Reserve Bank of Minneapolis web site.
Author : Gianluca Cubadda
Publisher :
ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (13 download)
Download or read book Representation, Estimation and Forecasting of the Multivariate Index-Augmented Autoregressive Model written by Gianluca Cubadda and published by . This book was released on 2018 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the conditions under which each individual series that is generated by a vector autoregressive model can be represented as an autoregressive model that is augmented with the lags of few linear combinations of all the variables in the system. We call this modelling Multivariate Index-Augmented Autoregression (MIAAR). We show that the parameters of the MIAAR can be estimated by a switching algorithm that increases the Gaussian likelihood at each iteration. Since maximum likelihood estimation may perform poorly when the number of parameters gets larger, we propose a regularized version of our algorithm to handle a medium-large number of time series. We illustrate the usefulness of the MIAAR modelling both by empirical applications and simulations.
Author : STANFORD UNIV CALIF DEPT OF STATISTICS.
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (123 download)
Download or read book Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models written by STANFORD UNIV CALIF DEPT OF STATISTICS. and published by . This book was released on 1978 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: The vector autoregressive moving average model is a multivariate stationary stochastic process where the unobservable multivariate process consists of independently identically distributed random vectors. The coefficient matrices and the covariance matrix are to be estimated from an observed sequence. Under the assumption of normality the method of maximum likelihood is applied to likelihoods suitably modified for techniques in the frequency and time domains. Newton-Raphson and scoring iterative methods are presented.
Author : Des Francis Nicholls
Publisher :
ISBN 13 : 9780909541705
Total Pages : 26 pages
Book Rating : 4.5/5 (417 download)
Download or read book The Exact Maximum Likelihood Function of Multivariate Autoregressive Moving Average Models written by Des Francis Nicholls and published by . This book was released on 1978 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Greg Reinsel
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (227 download)
Download or read book Maximum Likelihood Estimation of Vector Autoregressive Moving Average Models written by Greg Reinsel and published by . This book was released on 1976 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: A method is presented for the estimation of the parameters in the vector autoregressive moving average time series model. The estimation procedure is derived from the maximum likelihood approach and is based on Newton-Raphson techniques applied to the likelihood equations. The resulting two-step Newton-Raphson procedure is computationally simple, involving only generalized least squares estimation in the second step. This Newton-Raphson estimator is shown to be asymptotically efficient and to possess a limiting multivariate normal distribution. (Author).
Author : Gregory C. Reinsel
Publisher : Springer Science & Business Media
ISBN 13 : 146840198X
Total Pages : 278 pages
Book Rating : 4.4/5 (684 download)
Download or read book Elements of Multivariate Time Series Analysis written by Gregory C. Reinsel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of methods of time series analysis in the study of multivariate time series has become of increased interest in recent years. Although the methods are rather well developed and understood for univarjate time series analysis, the situation is not so complete for the multivariate case. This book is designed to introduce the basic concepts and methods that are useful in the analysis and modeling of multivariate time series, with illustrations of these basic ideas. The development includes both traditional topics such as autocovariance and auto correlation matrices of stationary processes, properties of vector ARMA models, forecasting ARMA processes, least squares and maximum likelihood estimation techniques for vector AR and ARMA models, and model checking diagnostics for residuals, as well as topics of more recent interest for vector ARMA models such as reduced rank structure, structural indices, scalar component models, canonical correlation analyses for vector time series, multivariate unit-root models and cointegration structure, and state-space models and Kalman filtering techniques and applications. This book concentrates on the time-domain analysis of multivariate time series, and the important subject of spectral analysis is not considered here. For that topic, the reader is referred to the excellent books by Jenkins and Watts (1968), Hannan (1970), Priestley (1981), and others.
Author : Søren Johansen
Publisher : Oxford University Press, USA
ISBN 13 : 0198774508
Total Pages : 280 pages
Book Rating : 4.1/5 (987 download)
Download or read book Likelihood-based Inference in Cointegrated Vector Autoregressive Models written by Søren Johansen and published by Oxford University Press, USA. This book was released on 1995 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Author : Antoni Espasa
Publisher : Vandehoeck & Rupprecht
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.F/5 ( download)
Download or read book The Spectral Maximum Likelihood Estimation of Econometric Models with Stationary Errors written by Antoni Espasa and published by Vandehoeck & Rupprecht. This book was released on 1977 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stationary disturbances and asymptotic theory; Specfiml (spectral full information maximum likelihood) estimation; The specfilm estimation with inadequate sample size; The estimation of the multiple regression model with stationary erros and lagged endogenous variables; The specfilm method as applied to models with lagged endogenous variables; The asymptotic variance matrix of the structural estimators when the erros follow an AR process.
Author : Fereydoon Ahrabi
Publisher :
ISBN 13 :
Total Pages : 192 pages
Book Rating : 4.F/5 ( download)
Download or read book Maximum Likelihood Estimation of the Autoregressive Coefficients and Moving Average Covariances of Vector Autoregressive Moving Average Models written by Fereydoon Ahrabi and published by . This book was released on 1979 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to derive asymptotically efficient estimates for the autoregressive matrix coefficients and moving average covariance matrices of the vector autoregressive moving average (VARMA) models in both time and frequency domains. To do this we shall apply the Newton-Raphson and scoring methods to the maximum likelihood equations derived from modified likelihood functions under the Gaussian Assumption.
Author : Samuel Karlin
Publisher : Academic Press
ISBN 13 : 1483268039
Total Pages : 591 pages
Book Rating : 4.4/5 (832 download)
Download or read book Studies in Econometrics, Time Series, and Multivariate Statistics written by Samuel Karlin and published by Academic Press. This book was released on 2014-05-10 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: Studies in Econometrics, Time Series, and Multivariate Statistics covers the theoretical and practical aspects of econometrics, social sciences, time series, and multivariate statistics. This book is organized into three parts encompassing 28 chapters. Part I contains studies on logit model, normal discriminant analysis, maximum likelihood estimation, abnormal selection bias, and regression analysis with a categorized explanatory variable. This part also deals with prediction-based tests for misspecification in nonlinear simultaneous systems and the identification in models with autoregressive errors. Part II highlights studies in time series, including time series analysis of error-correction models, time series model identification, linear random fields, segmentation of time series, and some basic asymptotic theory for linear processes in time series analysis. Part III contains papers on optimality properties in discrete multivariate analysis, Anderson’s probability inequality, and asymptotic distributions of test statistics. This part also presents the comparison of measures, multivariate majorization, and of experiments for some multivariate normal situations. Studies on Bayes procedures for combining independent F tests and the limit theorems on high dimensional spheres and Stiefel manifolds are included. This book will prove useful to statisticians, mathematicians, and advance mathematics students.
Author : Matthew Francis Dixon
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (13 download)
Download or read book MLEMVD written by Matthew Francis Dixon and published by . This book was released on 2020 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Continuous-time Markov processes are typically defined by stochastic differential equations, describing the evolution of one or more state variables. Maximum likelihood estimation of the model parameters to historical observations is only possible when at least one of the state variables is observable. In these cases, the form of the transition function corresponding to the stochastic differential equations must be known to assess the efficacy of fitting a continuous model to discrete samples. This paper makes two contributions: (i) we describe a new R package MLEMVD for calibrating general multi-variate diffusions models using maximum likelihood estimates; and (ii) we present an algorithm for calibrating the Heston model to option prices using maximum likelihood estimation and assess the robustness of the approach using Monte Carlo simulation.
Author : Jan R. Magnus
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (656 download)
Download or read book On the Maximum Likelihood Estimation of Multivariate Regression Models Containing Serially Correlated Error Components written by Jan R. Magnus and published by . This book was released on 1989 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ikuko Funatogawa
Publisher : Springer
ISBN 13 : 9811000778
Total Pages : 141 pages
Book Rating : 4.8/5 (11 download)
Download or read book Longitudinal Data Analysis written by Ikuko Funatogawa and published by Springer. This book was released on 2019-02-04 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new analytical approach for dynamic data repeatedly measured from multiple subjects over time. Random effects account for differences across subjects. Auto-regression in response itself is often used in time series analysis. In longitudinal data analysis, a static mixed effects model is changed into a dynamic one by the introduction of the auto-regression term. Response levels in this model gradually move toward an asymptote or equilibrium which depends on covariates and random effects. The book provides relationships of the autoregressive linear mixed effects models with linear mixed effects models, marginal models, transition models, nonlinear mixed effects models, growth curves, differential equations, and state space representation. State space representation with a modified Kalman filter provides log likelihoods for maximum likelihood estimation, and this representation is suitable for unequally spaced longitudinal data. The extension to multivariate longitudinal data analysis is also provided. Topics in medical fields, such as response-dependent dose modifications, response-dependent dropouts, and randomized controlled trials are discussed. The text is written in plain terms understandable for researchers in other disciplines such as econometrics, sociology, and ecology for the progress of interdisciplinary research.
Author : Kun-Mao Chen
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (192 download)
Download or read book Maximum Likelihood Estimation in Multivariate Continuous Variable Variance Components Panel Models written by Kun-Mao Chen and published by . This book was released on 1987 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
