Search Results - subject:"likelihood inference"

Testing hypotheses in an I(2) model with applications to the persistent long swings in the Dmk/$ rate

Johansen, Søren; Juselius, Katarina; Frydberg, Roman; … - School of Economics and Management, University of Aarhus - 2008

This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on beta’xt and the asymptotic variance for the stochastic trends parameters, alpha 1: How to specify...

Persistent link: https://www.econbiz.de/10005114124

Integrated likelihood inference in semiparametric regression models

He, H.; Severini, T. - In: METRON 72 (2014) 2, pp. 185-199

distribution to be a Gaussian process with a given covariance function, which may depend on additional parameters. Likelihood … inference based on the resulting integrated likelihood is considered and the properties of the score statistic based on the …

Persistent link: https://www.econbiz.de/10011000644

On the implementation of LIR: the case of simple linear regression with interval data

Cattaneo, Marco; Wiencierz, Andrea - In: Computational Statistics 29 (2014) 3, pp. 743-767

in general set-valued: it consists of all regression functions that cannot be excluded on the basis of likelihood … inference. These regression functions are said to be undominated. Since the interval data can be unbounded, a robust regression …

Persistent link: https://www.econbiz.de/10010998537

A diffusion approximation for an epidemic model

Dargatz, Christiane - 2007

Influenza is one of the most common and severe diseases worldwide. Devastating epidemics actuated by a new subtype of the influenza A virus occur again and again with the most important example given by the Spanish Flu in 1918/19 with more than 27 million deaths. For the development of pandemic...

Persistent link: https://www.econbiz.de/10010266168

The Pearson diffusions: A class of statistically tractable diffusion processes

Sørensen, Michael; Forman, Julie Lyng - School of Economics and Management, University of Aarhus - 2007

likeli- hood or approximate likelihood inference is possible for the Pearson diffusions. A complete model classification is …

Persistent link: https://www.econbiz.de/10005440039

Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

Johansen, Søren; Juselius, Katarina; Frydman, Roman; … - Økonomisk Institut, Københavns Universitet - 2007

This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on β’xt and the asymptotic variance for the stochastic trends parameters, α⊥1: How to specify deterministic...

Persistent link: https://www.econbiz.de/10005749586

Likelihood Inference for a Nonstationary Fractional Autoregressive Model

Johansen, Søren; Nielsen, Morten Ørregaard - Økonomisk Institut, Københavns Universitet - 2007

This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d – b; where d ≥ b 1/2 are parameters to be estimated. We model the data X, …, Xт given the...

Persistent link: https://www.econbiz.de/10005749662

Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2007

This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. We consider the likelihood and its derivatives as stochastic processes in the parameters, and prove that they converge in distribution when the errors are i.i.d. with...

Persistent link: https://www.econbiz.de/10005114110

Accurate higher-order likelihood inference on <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$P(Y>X)$$</EquationSource> </InlineEquation>

Cortese, Giuliana; Ventura, Laura - In: Computational Statistics 28 (2013) 3, pp. 1035-1059

The stress-strength reliability <InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$R=P(YX)$$</EquationSource> </InlineEquation>, where <InlineEquation ID="IEq5"> <EquationSource Format="TEX">$$X$$</EquationSource> </InlineEquation> and <InlineEquation ID="IEq6"> <EquationSource Format="TEX">$$Y$$</EquationSource> </InlineEquation> are independent continuous random variables, has obtained wide attention in many areas of application, such as in engineering statistics and biostatistics. Classical likelihood-based inference about <InlineEquation ID="IEq7"> <EquationSource Format="TEX">$$R$$</EquationSource> </InlineEquation> has been widely...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>

Persistent link: https://www.econbiz.de/10010998481

A Gaussian calculus for inference from high frequency data

Mykland, Per - In: Annals of Finance 8 (2012) 2, pp. 235-258

Persistent link: https://www.econbiz.de/10010866535