Search Results - subject_exact:"Maximum likelihood estimation"

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025

We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198647

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - 2025

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408198

Model misspecification and data-driven model ranking approach for insurance loss and claims data

Basu, Suparna; Ng, H. K. Tony - 2025

Statistical models are crucial in analyzing insurance loss and claims data, offering insights into various risk elements. The prevailing statistical notion that "all models are wrong, but some are useful" can wield significant influence, particularly when multiple competing statistical models...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561470

Bootstrap initialization of MLE for infinite mixture distributions with applications in insurance data

Mutaqin, Aceng Komarudin - 2025

Maximum likelihood estimation (MLE) in infinite mixture distributions often lacks closed-form solutions, requiring numerical methods such as the Newton-Raphson algorithm. Selecting appropriate initial values is a critical challenge in these procedures. This study introduces a bootstrap-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015492650

Dominated choices in risk and time elicitation

Sommervoll, Dag Einar; Holden, Stein Terje - 2024

Many risk and time elicitation designs rely on choice lists that aim to capture a switch point. A choice list for a respondent typically contains two switch point defining choices; the other responses are dominated in the sense that the preferred option could be inferred from the switch point....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014575257

Extended odd Frechet-exponential distribution with applications related to the environment

Jallal, Muzamil; Ahmed, Aijaz; Tripathi, Rajnee - 2024

In this paper, we attempted to expand the Frechet distribution by employing the T-X family of distributions and named the newly formulated model Extended odd Frechet-exponential distribution (EOFED). Several structural properties, reliability measurements and characteristics were estimated and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015125559

Limited financial market participations and shocks in business cycles in Korea

Jung, Yongseung - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015184797

Show one more version 1

Limited Financial Market Participations and Shocks in Business Cycles in Korea

Jung, Yongseung - 2024

Article

Specification testing for binary choice model via maximum score

Ota, Yuta; Otsu, Taisuke - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561469

Enforcing an admissible parameter space for vector MEM : the fundamental role of matrix inequality constraints

Karanasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; … - 2026

We derive an admissible parameter space for vector Multiplicative Error Models (vMEMs), explicitly formulating it in terms of the model's matrix parameters through a set of matrix inequalities. Another key contribution is the adoption of constrained maximum likelihood estimation for the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614295

Gaussian maximum likelihood estimation of static and dynamic factor models

Zadrozny, Peter A. - 2026 - Original version: January 2026, this version: February 2026

The paper derives and proves results of Gaussian maximum likelihood estimation of constant unknowns (coefficients, covariances) and time-varying unknowns (factors, disturbances) of static and dynamic factor models and, thereby, extends the statistics and econometrics literatures on estimation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015586766

Noncausal AR processes driven by causal GARCH volatility

Velasquez-Gaviria, Daniel; Zakoïan, Jean-Michel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604163

From proximity to correlation : how different measures of distance shape U.S. emerging market stock market co-movements

Bonga-Bonga, Lumengo; Ncube, Lavie - 2026

This paper extends the gravity model to financial markets by examining how distance and bilateral linkages influence stock market correlations between the United States and selected emerging economies. To this end, the Poisson Pseudo Maximum Likelihood (PPML) estimator is used to account for...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625849

Estimating, forecasting and backtesting a family of exponential and other GARCH models using the fEGarch package

Schulz, Dominik; Feng, Yuanhua; Peitz, Christian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627061

Power law heteroskedasticity

Price, David J. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647094

Some insights about the applicability of logistic factorisation machines in banking

Slabber, Erika; Verster, Tanja; De Jongh, Riaan - 2023

Logistic regression is a very popular binary classification technique in many industries, particularly in the financial service industry. It has been used to build credit scorecards, estimate the probability of default or churn, identify the next best product in marketing, and many more...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014246272

Model uncertainty and selection of risk models for left-truncated and right-censored loss data

Zhao, Qian; Upretee, Sahadeb; Yu, Daoping - 2023

Insurance loss data are usually in the form of left-truncation and right-censoring due to deductibles and policy limits, respectively. This paper investigates the model uncertainty and selection procedure when various parametric models are constructed to accommodate such left-truncated and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014435618

Climate risks and damage abatement effects of pesticides : evidence based on four-wave panel data in Nigeria

Takeshima, Hiroyuki; Edeh, Hyacinth O.; Lawal, Akeem O.; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014494878

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - 2023

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014446758

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014460484

Show one more version 1

Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - 2023

Book / Working Paper

Score-driven time-varying parameter models with splinebased densities

van Brummelen, Janneke; Gorgi, Paolo; Koopman, Siem Jan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015209990

Simulated maximum likelihood estimation of the sequential search model

Chung, Jae Hyen; Chintagunta, Pradeep K.; Misra, Sanjog - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332998

Show one more version 1

Simulated Maximum Likelihood Estimation of the Sequential Search Model

Chung, Jae Hyen; Chintagunta, Pradeep K.; Misra, Sanjog - 2023

Book / Working Paper

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, ebvufind01.dmz1.zbw.eu/10015338665

A Neyman-Orthogonalization Approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015192339

Show one more version 1

A Neyman-orthogonalization approach to the incidental parameter problem

Bonhomme, Stéphane; Jochmans, Koen; Weidner, Martin - 2025

Book / Working Paper

Regularized maximum likelihood estimation for the random coefficients model

Dunker, Fabian; Mendoza, Emil; Reale, Marco - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196597

Using generalized estimating equations to estimate nonlinear models with spatial data

Wang, Weining; Wooldridge, Jeffrey M.; Xu, Mengshan; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196599

The shifted GARCH model with affine variance : applications in pricing

Escobar, Marcos; Hou, Yangyang; Stentoft, Lars - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197067

Importance sampling for option pricing with feedforward neural networks

Arandjelović, Aleksandar; Rheinländer, Thorsten; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394776

Density-valued ARMA models by spline mixtures

Matsuda, Yasumasa; Iwafuchi, Rei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015418053

When tails are heavy : the benefits of variance-targeted, non-Gaussian, quasi-maximum likelihood estimation of GARCH models

Prono, Todd - 2025 - This version: July 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471286

Local estimation for option pricing : improving forecasts with market state information

Kim, Hyung Joo; Oh, Dong Hwan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471296

Using an iterative procedure of maximum likelihood estimations to solve the newsvendor problem with censored demand

Clausen, Johan Bjerre Bach; Larsen, Christian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015407279

Mean-variance portfolio optimization using jackknife empirical likelihood estimation of tail conditional variance

Nargunam, Rupel; Sudheesh, K. K. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437097

Maximum likelihood estimation of normal-gamma and normal-Nakagami stochastic frontier models

Stead, Alexander D. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440374

A simplified Klein-Spady estimator for binary choice models

Hjertstrand, Per; Proctor, Andrew; Westerlund, Joakim - 2025

One of the most cited studies within the field of binary choice models is that of Klein and Spady (1993), in which the authors propose an estimator that is not only non-parametric with respect to the choice density but also asymptotically efficient. However, while theoretically appealing, the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457859

An option-based QML approach for estimating structural models

Ben-Ameur, Hatem; Ben-Mahmoud, Chaima; Zenaidi, Amel - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015458513

Cross-fitted empirical likelihood on semiparametric models

Qiu, Chen - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015459767

Heckman-type maximum likelihood estimators of the gravity equation : a Monte Carlo study

Mnasri, Ayman; Nechi, Salem - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460301

Likelihood ratio inference for missing data models

Adusumilli, Karun; Otsu, Taisuke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015555368

Show one more version 1

Likelihood ratio inference for missing data models

Adusumilli, Karun; Otsu, Taisuke - 2018

Book / Working Paper

Spatial econometrics

Lesage, James P.; Fischer, Manfred M. - 2025

Spatial econometrics deals with econometric modeling in the presence of spatial dependence and heterogeneity, where observations correspond to specific spatial units such as points or regions. Traditional estimation techniques assume independent observations and are inadequate when spatial...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557409

Estimation of the probability of informed trading models via an expectation-conditional maximization algorithm

Ghachem, Montasser; Ersan, Oguz - 2025

The estimation of the probability of informed trading (PIN) model and its extensions poses significant challenges owing to various computational problems. To address these issues, we propose a novel estimation method called the expectation-conditional-maximization (ECM) algorithm, which can...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015557970

Is time an illusion? : a bootstrap likelihood ratio test for shock transmission delays in DSGE models

Angelini, Giovanni; Fanelli, Luca; Sorge, Marco M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015590259

Testing shock independence in Gaussian structural VARs

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606878

Show one more version 1

Testing shock independence in gaussian structural vars

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2025

Book / Working Paper

Addressing endogeneity issues in a spatial autoregressive model using copulas

Lin, Yanli; Song, Yichun - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656364

Clustering then estimation of spatio-temporal self-exciting processes

Zhang, Haoting; Zhan, Donglin; Anderson, James; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015453372

Optimising batch withdrawal strategies for non-safety-related defects under risk sensitivity

Fontem, Belleh; Hellman, Kelly L. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015445426

Feature misspecification in sequential learning problems

Ahn, Dohyun; Shin, Dongwook; Zeevi, Assaf - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015446313

The odd power generalized Weibull-G power series class of distributions : properties and applications

Oluyede, Broderick; Moakofi, Thatayaone; Chipepa, Fastel - 2022

We develop a new class of distributions, namely, the odd power generalized Weibull-G powerseries (OPGW-GPS) class of distributions. We present some special classes of the proposeddistribution. Structural properties, have also been derived. We conducted a simulation studyto evaluate the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013419312

The length-biased power hazard rate distribution : some properties and applications

Mustafa, Abdelfattah; Khan, M.I. - 2022

In this article, the length-biased power hazard rate distribution has introduced and investi-gated several statistical properties. This distribution reports an extension of several prob-ability distributions, namely: exponential, Rayleigh, Weibull, and linear hazard rate. Theprocedure of maximum...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013419421

Profit efficiency and technology adoption of Boro rice production in Bangladesh

Hoque, Fazlul; Akter Joya, Tahmina; Asma Akter; Anny, … - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013445355

Type II exponentiated half-logistic-Gompertz Topp-Leone-G family of distributions with applications

Oluyede, Broderick; Moakofi, Thatayaone - 2022

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013502251