Estimation of Transition Probabilities Using Median Absolute Deviations

The probability-constrained minimum absolute deviations (MAD) estimator appears to be superior to the probability-constrained quadratic programming estimator in estimating transition probabilities with limited aggregate time series data Futhermore, one can reduce the number of columns in the probability-constrained MAD simplex tableau by adopting the median property

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Year of publication:	1988
Authors:	Kim, C.S. ; Schaible, Glenn D.
Published in:	Journal of Agricultural Economics Research. - Economic Research Service. - 1988, 4
Publisher:	Economic Research Service
Subject:	Minimum absolute deviations \| transition probabilities \| median absolute deviations \| quadratic programming \| Financial Economics \| Research Methods/ Statistical Methods

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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