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Author : J. D. Fermanian
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (247 download)
Download or read book A Nonparametric Simulated Maximum Likelihood Estimation Method written by J. D. Fermanian and published by . This book was released on 2001 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dennis Kristensen
Publisher :
ISBN 13 :
Total Pages : 47 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood written by Dennis Kristensen and published by . This book was released on 2008 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the simulated observations, we nonparametrically estimate the density - which is unknown in closed form - by kernel methods, and then construct a likelihood function that can be maximized. We prove for dynamic models that this nonparametric simulated maximum likelihood (NPSML) estimator is consistent and asymptotically efficient. NPSML is applicable to general classes of models and is easy to implement in practice.
Author : James R. Thompson
Publisher : SIAM
ISBN 13 : 0898712610
Total Pages : 317 pages
Book Rating : 4.8/5 (987 download)
Download or read book Nonparametric Function Estimation, Modeling, and Simulation written by James R. Thompson and published by SIAM. This book was released on 1990-01-01 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: Topics emphasized in this book include nonparametric density estimation, multi-dimensional data analysis, cancer progression, chaos theory, and parallel based algorithms.
Author : Scott R. Eliason
Publisher : SAGE
ISBN 13 : 9780803941076
Total Pages : 100 pages
Book Rating : 4.9/5 (41 download)
Download or read book Maximum Likelihood Estimation written by Scott R. Eliason and published by SAGE. This book was released on 1993 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a short introduction to Maximum Likelihood (ML) Estimation. It provides a general modeling framework that utilizes the tools of ML methods to outline a flexible modeling strategy that accommodates cases from the simplest linear models (such as the normal error regression model) to the most complex nonlinear models linking endogenous and exogenous variables with non-normal distributions. Using examples to illustrate the techniques of finding ML estimators and estimates, the author discusses what properties are desirable in an estimator, basic techniques for finding maximum likelihood solutions, the general form of the covariance matrix for ML estimates, the sampling distribution of ML estimators; the use of ML in the normal as well as other distributions, and some useful illustrations of likelihoods.
Author : Lung-Fei Lee
Publisher :
ISBN 13 :
Total Pages : 23 pages
Book Rating : 4.:/5 (32 download)
Download or read book Simulated Maximum Likelihood Estimation of Discrete Models with Group Data written by Lung-Fei Lee and published by . This book was released on 1993 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (321 download)
Download or read book Exact Maximum Likelihood Estimation of Observation-driven Econometric Models written by Francis X. Diebold and published by . This book was released on 1996 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We find that, especially in situations of small samples and high persistence, efficiency gains are obtained. We conclude with a discussion of directions for future research, including application of our methods to panel data models.
Author : P.P.B. Eggermont
Publisher : Springer Nature
ISBN 13 : 1071612441
Total Pages : 514 pages
Book Rating : 4.0/5 (716 download)
Download or read book Maximum Penalized Likelihood Estimation written by P.P.B. Eggermont and published by Springer Nature. This book was released on 2020-12-15 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with parametric and nonparametric density estimation from the maximum (penalized) likelihood point of view, including estimation under constraints. The focal points are existence and uniqueness of the estimators, almost sure convergence rates for the L1 error, and data-driven smoothing parameter selection methods, including their practical performance. The reader will gain insight into technical tools from probability theory and applied mathematics.
Author : Hisashi Tanizaki
Publisher : CRC Press
ISBN 13 : 0824750888
Total Pages : 534 pages
Book Rating : 4.8/5 (247 download)
Download or read book Computational Methods in Statistics and Econometrics written by Hisashi Tanizaki and published by CRC Press. This book was released on 2004-01-21 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reflecting current technological capacities and analytical trends, Computational Methods in Statistics and Econometrics showcases Monte Carlo and nonparametric statistical methods for models, simulations, analyses, and interpretations of statistical and econometric data. The author explores applications of Monte Carlo methods in Bayesian estimation, state space modeling, and bias correction of ordinary least squares in autoregressive models. The book offers straightforward explanations of mathematical concepts, hundreds of figures and tables, and a range of empirical examples. A CD-ROM packaged with the book contains all of the source codes used in the text.
Author : Francisco J Samaniego
Publisher : World Scientific
ISBN 13 : 9814458171
Total Pages : 479 pages
Book Rating : 4.8/5 (144 download)
Download or read book Nonparametric Statistical Methods And Related Topics: A Festschrift In Honor Of Professor P K Bhattacharya On The Occasion Of His 80th Birthday written by Francisco J Samaniego and published by World Scientific. This book was released on 2011-09-16 with total page 479 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume consists of 22 research papers by leading researchers in Probability and Statistics. Many of the papers are focused on themes that Professor Bhattacharya has published on research. Topics of special interest include nonparametric inference, nonparametric curve fitting, linear model theory, Bayesian nonparametrics, change point problems, time series analysis and asymptotic theory.This volume presents state-of-the-art research in statistical theory, with an emphasis on nonparametric inference, linear model theory, time series analysis and asymptotic theory. It will serve as a valuable reference to the statistics research community as well as to practitioners who utilize methodology in these areas of emphasis.
Author : Patrick C. Murphy
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (317 download)
Download or read book An Algorithm for Maximum Likelihood Estimation Using an Efficient Method for Approximating Sensitivities written by Patrick C. Murphy and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : P. Groeneboom
Publisher : Birkhauser
ISBN 13 : 9780817627942
Total Pages : 126 pages
Book Rating : 4.6/5 (279 download)
Download or read book Information Bounds and Nonparametric Maximum Likelihood Estimation written by P. Groeneboom and published by Birkhauser. This book was released on 1992 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. C. Heyde
Publisher : Springer Science & Business Media
ISBN 13 : 0387982256
Total Pages : 236 pages
Book Rating : 4.3/5 (879 download)
Download or read book Quasi-Likelihood And Its Application written by C. C. Heyde and published by Springer Science & Business Media. This book was released on 1997-07-31 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first account in book form of all the essential features of the quasi-likelihood methodology, stressing its value as a general purpose inferential tool. The treatment is rather informal, emphasizing essential principles rather than detailed proofs, and readers are assumed to have a firm grounding in probability and statistics at the graduate level. Many examples of the use of the methods in both classical statistical and stochastic process contexts are provided.
Author : G. B. Crawford
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (227 download)
Download or read book Non-parametric Maximum Likelihood Estimation written by G. B. Crawford and published by . This book was released on 1963 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Given that a distribution function is a member of a subclass of absolutely continuous measures, the problem of nonparametric estimation is considered, with the method of maximum likelihood, of the underlying density function of a given sample of independent identically distributed random variables. Sufficient conditions on the space of probability densities and its topology are given for the consistency of such an estimate. (Author).
Author : Russell B. Millar
Publisher : John Wiley & Sons
ISBN 13 : 9780470094822
Total Pages : 0 pages
Book Rating : 4.0/5 (948 download)
Download or read book Maximum Likelihood Estimation and Inference written by Russell B. Millar and published by John Wiley & Sons. This book was released on 2011-09-19 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book takes a fresh look at the popular and well-established method of maximum likelihood for statistical estimation and inference. It begins with an intuitive introduction to the concepts and background of likelihood, and moves through to the latest developments in maximum likelihood methodology, including general latent variable models and new material for the practical implementation of integrated likelihood using the free ADMB software. Fundamental issues of statistical inference are also examined, with a presentation of some of the philosophical debates underlying the choice of statistical paradigm. Key features: Provides an accessible introduction to pragmatic maximum likelihood modelling. Covers more advanced topics, including general forms of latent variable models (including non-linear and non-normal mixed-effects and state-space models) and the use of maximum likelihood variants, such as estimating equations, conditional likelihood, restricted likelihood and integrated likelihood. Adopts a practical approach, with a focus on providing the relevant tools required by researchers and practitioners who collect and analyze real data. Presents numerous examples and case studies across a wide range of applications including medicine, biology and ecology. Features applications from a range of disciplines, with implementation in R, SAS and/or ADMB. Provides all program code and software extensions on a supporting website. Confines supporting theory to the final chapters to maintain a readable and pragmatic focus of the preceding chapters. This book is not just an accessible and practical text about maximum likelihood, it is a comprehensive guide to modern maximum likelihood estimation and inference. It will be of interest to readers of all levels, from novice to expert. It will be of great benefit to researchers, and to students of statistics from senior undergraduate to graduate level. For use as a course text, exercises are provided at the end of each chapter.
Author : Ishwar V. Basawa
Publisher : IMS
ISBN 13 : 9780940600447
Total Pages : 460 pages
Book Rating : 4.6/5 (4 download)
Download or read book Selected Proceedings of the Symposium on Estimating Functions written by Ishwar V. Basawa and published by IMS. This book was released on 1997 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungho Park
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (129 download)
Download or read book A Simulated Maximum Likelihood Estimator for the Random Coefficient Logit Model Using Aggregate Data written by Sungho Park and published by . This book was released on 2008 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a Simulated Maximum Likelihood estimation method for the random coefficient logit model using aggregate data, accounting for heterogeneity and endogeneity. Our method allows for two sources of randomness in observed market shares - unobserved product characteristics and sampling error. Because of the latter, our method is suitable when sample sizes underlying the shares are finite. By contrast, the commonly used approach of Berry, Levinsohn and Pakes (1995) assumes that observed shares have no sampling error. Our method can be viewed as a generalization of Villas-Boas and Winer (1999) and is closely related to the quot;control functionquot; approach of Petrin and Train (2004). We show that the proposed method provides unbiased and efficient estimates of demand parameters. We also obtain endogeneity test statistics as a by-product, including the direction of endogeneity bias. The model can be extended to incorporate Markov regime-switching dynamics in parameters and is open to other extensions based on Maximum Likelihood. The benefits of the proposed approach are achieved by assuming normality of the unobserved demand attributes, an assumption that imposes constraints on the types of pricing behaviors that are accommodated. However, we find in simulations that demand estimates are fairly robust to violations of these assumptions.
Author : Carol Joanne Feltz
Publisher :
ISBN 13 :
Total Pages : 296 pages
Book Rating : 4.:/5 (18 download)
Download or read book Nonparametric Maximum Likelihood Estimation of Stochastically Ordered Survival Functions written by Carol Joanne Feltz and published by . This book was released on 1982 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
