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Density-valued ARMA models by spline mixtures
Matsuda, Yasumasa; Iwafuchi, Rei - 2025
Persistent link: https://www.econbiz.de/10015418053
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Modified profile likelihood for fixed-effects panel data models
Bartolucci, Francesco; Bellio, R.; Salvan, A.; Sartori, N. - In: Econometric reviews 35 (2016) 5/7, pp. 1271-1289
Persistent link: https://www.econbiz.de/10011591243
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Maximum likelihood estimation in Markov regime-switching models with covariate-dependent transition probabilities
Pouzo, Demian; Psaradakis, Zacharias G.; Sola, Martin - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 4, pp. 1681-1710
Persistent link: https://www.econbiz.de/10013382399
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Maximum trimmed likelihood estimation for discrete multivariate Vasicek processes
Fullerton, Thomas M.; Pokojovy, Michael; Anum, Andrews T.; … - 2025
The multivariate Vasicek model is commonly used to capture mean-reverting dynamics typical for short rates, asset price stochastic log-volatilities, etc. Reparametrizing the discretized problem as a VAR(1) model, the parameters are oftentimes estimated using the multivariate least squares (MLS)...
Persistent link: https://www.econbiz.de/10015338665
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Mixture model selection via hierarchical BIC
Zhao, Jianhua; Jin, Libin; Shi, Lei - In: Computational Statistics & Data Analysis 88 (2015) C, pp. 139-153
The Bayesian information criterion (BIC) is one of the most popular criteria for model selection in finite mixture … called hierarchical BIC (HBIC) is proposed which penalizes the component complexity only using its local sample size and … bound when sample size is large and the widely used BIC is a less accurate approximation. An empirical study is conducted to …
Persistent link: https://www.econbiz.de/10011264463
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Statistical analysis of discrete-valued time series using categorical ARMA models
Song, Peter X.-K.; Freeland, R. Keith; Biswas, Atanu; … - In: Computational Statistics & Data Analysis 57 (2013) 1, pp. 112-124
studies, in which the bias-corrected AIC is shown to outperform the traditional AIC and BIC statistics and the RCM test …
Persistent link: https://www.econbiz.de/10010871305