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Estimation Of Dynamic Models With Nonparametric Simulated Maximum Likelihood
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Book Synopsis Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood by : Dennis Kristensen
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.
Book Synopsis Exact Maximum Likelihood Estimation of Observation-driven Econometric Models by : Francis X. Diebold
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.
Book Synopsis A Nonparametric Simulated Maximum Likelihood Estimation Method by : J. D. Fermanian
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:
Book Synopsis Nonparametric Function Estimation, Modeling, and Simulation by : James R. Thompson
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.
Book Synopsis Maximum Likelihood Estimation of Dynamic Models with Unobserved Variables by : Damayanti Ghosh
Download or read book Maximum Likelihood Estimation of Dynamic Models with Unobserved Variables written by Damayanti Ghosh and published by . This book was released on 1987 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances by : Tim Bollerslev
Download or read book Quasi-maximum Likelihood Estimation of Dynamic Models with Time Varying Covariances written by Tim Bollerslev and published by . This book was released on 1988 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC MODELS WITH TIME VARYNG COVARIANCES by : Tim BOLLERSLEV
Download or read book QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF DYNAMIC MODELS WITH TIME VARYNG COVARIANCES written by Tim BOLLERSLEV and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation of Dynamic Models with Error Components by : Theodore Wilbur Anderson
Download or read book Estimation of Dynamic Models with Error Components written by Theodore Wilbur Anderson and published by . This book was released on 1980 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unconditional Maximum Likelihood Estimation of Dynamic Models for Spatial Panels by : Jean Paul Elhorst
Download or read book Unconditional Maximum Likelihood Estimation of Dynamic Models for Spatial Panels written by Jean Paul Elhorst and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Simulated Maximum Likelihood Estimation of Discrete Models with Group Data by : Lung-Fei Lee
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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data by : Borus Jungbacker
Download or read book Maximum Likelihood Estimation for Dynamic Factor Models with Missing Data written by Borus Jungbacker and published by . This book was released on 2011 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper concerns estimating parameters in a high-dimensional dynamic factor model by the method of maximum likelihood. To accommodate missing data in the analysis, we propose a new model representation for the dynamic factor model. It allows the Kalman filter and related smoothing methods to evaluate the likelihood function and to produce optimal factor estimates in a computationally efficient way when missing data is present. The implementation details of our methods for signal extraction and maximum likelihood estimation are discussed. The computational gains of the new devices are presented based on simulated data sets with varying numbers of missing entries.
Book Synopsis Financial Economics by : Antonio Mele
Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.
Book Synopsis Maximum Penalized Likelihood Estimation by : P.P.B. Eggermont
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.
Book Synopsis Parallel Population and Parallel Human by : Peijun Ye
Download or read book Parallel Population and Parallel Human written by Peijun Ye and published by John Wiley & Sons. This book was released on 2023-06-06 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parallel Population and Parallel Human Proposes a new paradigm to investigate an individual’s cognitive deliberation in dynamic human-machine interactions Today, intelligent machines enable people to interact remotely with friends, family, romantic partners, colleagues, competitors, organizations, and others. Virtual reality (VR), augmented reality (AR), artificial intelligence (AI), mobile social media, and other technologies have been driving these interactions to an unprecedented level. As the complexity in system control and management with human participants increases, engineers are facing challenges that arise from the uncertainty of operators or users. Parallel Population and Parallel Human: A Cyber-Physical Social Approach presents systemic solutions for modeling, analysis, computation, and management of individuals’ cognition and decision-making in human-participated systems, such as the MetaVerse. With a virtual-real behavioral approach that seeks to actively prescribe user behavior through cognitive and dynamic learning, the authors present a parallel population/human model for optimal prescriptive control and management of complex systems that leverages recent advances in artificial intelligence. Throughout the book, the authors address basic theory and methodology for modeling, describe various implementation techniques, highlight potential acceleration technologies, discuss application cases from different fields, and more. In addition, the text: Considers how an individual’s behavior is formed and how to prescribe their behavioral modes Describes agent-based computation for complex social systems based on a synthetic population from realistic individual groups Proposes a universal algorithm applicable to a wide range of social organization types Extends traditional cognitive modeling by utilizing a dynamic approach to investigate cognitive deliberation in highly time-variant tasks Presents a new method that can be used for both large-scale social systems and real-time human-machine interactions without extensive experiments for modeling Parallel Population and Parallel Human: A Cyber-Physical Social Approach is a must-read for researchers, engineers, scientists, professionals, and graduate students who work on systems engineering, human-machine interaction, cognitive computing, and artificial intelligence.
Book Synopsis Diagnostic testing and exact maximum likelihood estimation of dynamic models by : M. H. Pasaran
Download or read book Diagnostic testing and exact maximum likelihood estimation of dynamic models written by M. H. Pasaran and published by . This book was released on 1982 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Network Theory and Agent-Based Modeling in Economics and Finance by : Anindya S. Chakrabarti
Download or read book Network Theory and Agent-Based Modeling in Economics and Finance written by Anindya S. Chakrabarti and published by Springer Nature. This book was released on 2019-10-23 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.
Book Synopsis Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments by : Michael Creel
Download or read book Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments written by Michael Creel and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
