Maximum likelihood estimation in possibly misspecified dynamic models with time-inhomogeneous Markov regimes
Demian Pouzo (University of California, Berkeley), Zacharias Psaradakis (Birkbeck, University of London), Martin Sola (Universidad Torcuato di Tella)
| Year of publication: |
December 2016
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| Authors: | Pouzo, Demian ; Psaradakis, Zacharias G. ; Sola, Martin |
| Publisher: |
London : Birkbeck, University of London, Department of Economics, Mathematics and Statistics |
| Subject: | Autoregressive model | consistency | hidden Markov model | Markov regimes | maximum likelihood | local asymptotic normality | misspecified models | time-inhomogenous Markov chain | Markov-Kette | Markov chain | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
| Extent: | 1 Online-Ressource (circa 59 Seiten) |
|---|---|
| Series: | Birkbeck working papers in economics and finance : BWPEF. - London : [Verlag nicht ermittelbar], ZDB-ID 2169588-X. - Vol. BWPEF 1607 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011610480