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Quasi Maximum Likelihood Estimation For A Class Of Continuous Time Long Memory Processes
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Book Synopsis Quasi-Maximum Likelihood Estimation for a Class of Continuous-Time Long-Memory Processes by : Henghsiu Tsai
Download or read book Quasi-Maximum Likelihood Estimation for a Class of Continuous-Time Long-Memory Processes written by Henghsiu Tsai and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tsai and Chan (2003) has recently introduced the Continuous-time Auto-Regressive Fractionally Integrated Moving-Average (CARFIMA) models useful for studying long-memory data. We consider the estimation of the CARFIMA models with discrete-time data by maximizing the Whittle likelihood. We show that the quasi-maximum likelihood estimator is asymptotically normal and efficient. Finite-sample properties of the quasi-maximum likelihood estimator and those of the exact maximum likelihood estimator are compared by simulations. Simulations suggest that for finite samples, the quasi-maximum likelihood estimator of the Hurst parameter is less biased but more variable than the exact maximum likelihood estimator. We illustrate the method with a real application.
Book Synopsis Long-Memory Processes by : Jan Beran
Download or read book Long-Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Book Synopsis Maximum Likelihood Estimation in Vector Long Memory Processes Via EM Algorithm by : Jeffrey Pai
Download or read book Maximum Likelihood Estimation in Vector Long Memory Processes Via EM Algorithm written by Jeffrey Pai and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Statistica Sinica written by and published by . This book was released on 2006 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Memory ARCH(∞) Models written by and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Parameter Estimation in Stochastic Differential Equations by : Jaya P. N. Bishwal
Download or read book Parameter Estimation in Stochastic Differential Equations written by Jaya P. N. Bishwal and published by Springer. This book was released on 2007-09-26 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: Parameter estimation in stochastic differential equations and stochastic partial differential equations is the science, art and technology of modeling complex phenomena. The subject has attracted researchers from several areas of mathematics. This volume presents the estimation of the unknown parameters in the corresponding continuous models based on continuous and discrete observations and examines extensively maximum likelihood, minimum contrast and Bayesian methods.
Download or read book Research Reports written by and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quasi-maximum-likelihood Estimation in Heteroscedastic Time Series by : Daniel Straumann
Download or read book Quasi-maximum-likelihood Estimation in Heteroscedastic Time Series written by Daniel Straumann and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Quasi-Likelihood And Its Application by : Christopher C. Heyde
Download or read book Quasi-Likelihood And Its Application written by Christopher C. Heyde and published by Springer Science & Business Media. This book was released on 2008-01-08 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.
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 A Multivariate Preconditioned Conjugate Gradient Approach for Maximum Likelihood Estimation in Vector Long Memory Processes by : Jeffrey S. Pai
Download or read book A Multivariate Preconditioned Conjugate Gradient Approach for Maximum Likelihood Estimation in Vector Long Memory Processes written by Jeffrey S. Pai and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconometrics and Time Series Analysis by : Steven Durlauf
Download or read book Macroeconometrics and Time Series Analysis written by Steven Durlauf and published by Springer. This book was released on 2016-04-30 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Download or read book Journal of Econometrics written by and published by . This book was released on 1996 with total page 430 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 Maximum Likelihood Estimation Based on Imcomplete Observations for a Class of Discrete Time Stochastic Processes by Means of the Kalman Filter by : Asger Roer Pedersen
Download or read book Maximum Likelihood Estimation Based on Imcomplete Observations for a Class of Discrete Time Stochastic Processes by Means of the Kalman Filter written by Asger Roer Pedersen and published by . This book was released on 1993 with total page 20 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 Maximum Likelihood Estimation Based on Incomplete Observations for a Class of Discrete Time Stochastic Processes by Means of the Kalman Filter by : Asger Roer Pedersen
Download or read book Maximum Likelihood Estimation Based on Incomplete Observations for a Class of Discrete Time Stochastic Processes by Means of the Kalman Filter written by Asger Roer Pedersen and published by . This book was released on 1993 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
