Search Results - subject_exact:"Maximum-Likelihood-Schätzfunktion"

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

Power quasi Sujatha distribution with properties and applications to real lifetime data

Prodhani, Hosenur Rahman; Shanker, Rama - 2026

This study presents a three-parameter power quasi Sujatha distribution. Statistical properties including the survival function, hazard function, reverse hazard function, mean residual life function and stochastic ordering have been discussed. Moments of the proposed distribution have been...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667515

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

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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

A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is zero. Such first-order orthogonalization may, however,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191457

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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

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

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

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

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

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

Likelihood ratio inference for missing data models

Adusumilli, Karun; Otsu, Taisuke - 2025

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

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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

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/10015583767

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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

Biases in the maximum simulated likelihood estimation of the mixed logit model

Jumamyradov, Maksat; Munkin, Murat; Greene, William; … - 2024

In a recent study, it was demonstrated that the maximum simulated likelihood (MSL) estimator produces significant biases when applied to the bivariate normal and bivariate Poisson-lognormal models. The study's conclusion suggests that similar biases could be present in other models generated by...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014636421

Self-interest and support of climate-related transport policy measures : an empirical analysis for citizens in Germany and Sweden

Habla, Wolfgang; Kokash, Kumai; Löfgren, Åsa; … - 2024

Based on data from broadly representative surveys among more than 1,400 citizens in Germany and Sweden, this paper empirically examines the support of different groups of climate-related (passenger) transport policy measures targeting vehicle use, public transport, air travel, and bicycle use....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014565318

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

Identification of one independent shock in structural VARs

Fiorentini, Gabriele; Moneta, Alessio; Papagni, Francesca - 2024

We establish the identification of a specific shock in a structural vector autoregressive model under the assumption that this shock is independent of the other shocks in the system, without requiring the latter shocks to be mutually independent, unlike the typical assumptions in the independent...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015084313

Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073825

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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions

Blasques, Francisco; Brummelen, Janneke van; Gorgi, Paolo; … - 2022

Book / Working Paper

Tail behavior of ACD models and consequences for likelihood-based estimation

Cavaliere, Giuseppe; Mikosch, Thomas; Rahbek, Anders; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015073910

Likelihood approach to dynamic panel models with interactive effects

Bai, Jushan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015074609

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Likelihood Approach to Dynamic Panel Models with Interactive Effects

Bai, Jushan - 2013

Book / Working Paper

Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075008

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Time-varying multivariate causal processes

Gao, Jiti; Peng, Bin; Wu, Wei Biao; Yan, Yayi - 2022

Book / Working Paper

Maximum likelihood estimation of a spatial autoregressive model for origin-destination flow variables

Jeong, Hanbat; Lee, Lung-fei - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015075214

An estimation of regime switching models with nonlinear endogenous switching

Chotipong Charoensom - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014486831

Non-Gaussian score-driven conditionally heteroskedastic models with a macroeconomic application

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrián - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014465380

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm

Barigozzi, Matteo; Luciani, Matteo - 2024 - This version: October 23, 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015136017

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Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm

Barigozzi, Matteo; Luciani, Matteo - 2024 - This version: September 26, 2024

Edition: This version: September 26, 2024

Book / Working Paper

Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015154320

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Nearly efficient likelihood ratio tests of a unit root in an autoregressive model of arbitrary order

Brien, Samuel; Jansson, Michael; Nielsen, Morten Ørregaard - 2020

Book / Working Paper

Reliability for Zeghdoudi distribution with an outlier, fuzzy reliability and application

Belhamra, Thara; Zeghdoudi, Halim; Raman, Vinoth - 2024

This study focuses on estimating reliability P[YX], where Y has a Zeghdoudi distribution with parameter a, X has a Zeghdoudi distribution with one outlier present and parameter c, and the remaining (n - 1) random variables are from a Zeghdoudi distribution with parameter b, in order for X and Y...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015125419

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

Variational inference for Bayesian panel VAR models

2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015321114