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Recurrent support vector regression for a nonlinear ARMA model with applications to forecasting financial returns
Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang Karl - 2008
recurrent SVR is compared with three competing methods, MLE, recurrent MLP and feedforward SVR. Theoretically, MLE and MLP only … metrics (NSME and sign). That is, for one-step-ahead forecasting, the recurrent SVR is consistently better than the MLE and …
Persistent link: https://www.econbiz.de/10010274149
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Estimating parameters of the three-parameter Weibull distribution using a neural network
Abbasi, B; Rabelo, L; Hosseinkouchack, M - 2008
procedures such as Maximum Likelihood Estimation (MLE) have become almost too complicated to implement. In this paper, we will … an MLE and two moment-based methods. …
Persistent link: https://www.econbiz.de/10009481810
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Hidden Markov model for stock selection
Nguyen, Nguyet; Nguyen, Dung - In: Risks 3 (2015) 4, pp. 455-473
The hidden Markov model (HMM) is typically used to predict the hidden regimes of observation data. Therefore, this model finds applications in many different areas, such as speech recognition systems, computational molecular biology and financial market predictions. In this paper, we use HMM for...
Persistent link: https://www.econbiz.de/10011709535
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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of … spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive … estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …
Persistent link: https://www.econbiz.de/10011755273
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Marshall-Olkin Power Lomax distribution for modeling of wind speed data
Ul Haq, Muhammad Ahsan; Rao, G. Srinivasa; Albassam, … - In: Energy Reports 6 (2020), pp. 1118-1123
Accurate collection of wind speed records is significant for numerous wind power applications. The present investigation aims to highlight the use of the Marshall-Olkin Power Lomax (MOPLx) distribution for wind speed data. We examine the actual wind speed records gathered from three stations...
Persistent link: https://www.econbiz.de/10012652468
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Estimation of parameters in weighted generalized beta distributions of the second kind
Ye, Yuan; Oluyede, Broderick O.; Pararai, Mavis - In: Journal of Statistical and Econometric Methods 1 (2012) 1, pp. 1-12
. WGB2 proved to be in the generalized beta-F family of distributions, and maximum likelihood estimation(MLE) is used to …
Persistent link: https://www.econbiz.de/10010281952
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Estimation of regulatory credit risk models
Pérez Montes, Carlos - 2013
Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...
Persistent link: https://www.econbiz.de/10012530413
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Distributional and Inferential Properties of the Process Loss Indices
Pearn, W. L.; Chang, Y. C.; Wu, Chien-Wei - In: Journal of Applied Statistics 31 (2004) 9, pp. 1115-1135
Johnson (1992) developed the process loss index Le, which is defined as the ratio of the expected quadratic loss to the square of half specification width. Tsui (1997) expressed the index LeasLe=Lpe+Lot, which provides an uncontaminated separation between information concerning the potential...
Persistent link: https://www.econbiz.de/10005495270
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Bootstrapping Log Likelihood and EIC, an Extension of AIC
Ishiguro, Makio; Sakamoto, Yosiyuki; Kitagawa, Genshiro - In: Annals of the Institute of Statistical Mathematics 49 (1997) 3, pp. 411-434
Persistent link: https://www.econbiz.de/10005395849
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An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
Jensen, Mark J. - EconWPA - 1997
with the exact MLE method. We test the robustness of the wavelet MLE of the fractional differencing parameter to a variety … values of p, d, and q and calculating the wavelet MLE estimate using only the main diagonal elements of its covariance matrix …. In our simulations we find the wavelet MLE to be superior to the approximate MLE when estimating contaminated ARFIMA(0,d …
Persistent link: https://www.econbiz.de/10005407968