Search Results - subject:"estimating functions"

The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics

Allen, David; Ng, K.H.; Peiris, Shelton - In: Economics Letters 120 (2013) 1, pp. 117-122

This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.

Persistent link: https://www.econbiz.de/10010665682

Inference for interest rate models using Milstein’s approximation

Koulis, Theodoro; Thavaneswaran, Aera - In: Journal of mathematical finance 3 (2013) 1, pp. 110-118

Persistent link: https://www.econbiz.de/10010240817

Estimating and simulating Weibull models of risk or price durations : an application to ACD models

Allen, David E.; Kok Haur Ng; Peiris, Shelton - In: The North American journal of economics and finance : a … 25 (2013), pp. 214-225

Persistent link: https://www.econbiz.de/10009779281

Effects of variance-function misspecification in analysis of longitudinal data

Wang, YG; Lin, X - 2005

Persistent link: https://www.econbiz.de/10009448738

Inference for random coefficient volatility models

Thavaneswaran, A.; Liang, You; Frank, Julieta - In: Statistics & Probability Letters 82 (2012) 12, pp. 2086-2090

Estimating functions have been shown to be convenient to study inference for nonlinear time series models. One such … Heteroscedasticity (GARCH) errors (Thavaneswaran et al., 2009). We derive the martingale estimating functions for the joint estimation of …

Persistent link: https://www.econbiz.de/10011039910

Quantile regression for longitudinal data with a working correlation model

Fu, Liya; Wang, You-Gan - In: Computational Statistics & Data Analysis 56 (2012) 8, pp. 2526-2538

within-subject estimating functions, which incorporates the correlations between repeated measurements. Therefore, the … proposed method results in more efficient parameter estimation relative to the estimating functions based on an independence …

Persistent link: https://www.econbiz.de/10010574437

Inference in generalized linear regression models with a censored covariate

Tsimikas, John V.; Bantis, Leonidas E.; Georgiou, Stelios D. - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1854-1868

The problem of estimating the parameters in a generalized linear model when a covariate is subject to censoring is studied. A new method based on an estimating function approach is proposed. The method does not assume a parametric form for the distribution of the response given the regressors...

Persistent link: https://www.econbiz.de/10010574469

Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models

Hubalek, Friedrich; Posedel, Petra - In: Quantitative Finance 11 (2011) 6, pp. 917-932

unobservable instantaneous variance. We develop an explicit estimator based on martingale estimating functions in a bivariate model …

Persistent link: https://www.econbiz.de/10009208243

Estimating functions for repeated measures with incidental parameters

Crowder, Martin - In: Annals of the Institute of Statistical Mathematics 63 (2011) 3, pp. 535-558

Persistent link: https://www.econbiz.de/10008925557

Parametric Inference for Diffusion Processes Observed at Discrete Points in Time: a Survey.

Sørensen, Helle - Økonomisk Institut, Københavns Universitet - 2002

discrete points in time. The reader is introduced to the following techniques: (i) estimating functions with special emphasis … on martingale estimating functions and so-called simple estimating functions; (ii) analytical and numerical …

Persistent link: https://www.econbiz.de/10005543460