Quasi-maximum likelihood
Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models
... the quasi maximum likelihood method to estimate the model and investigate the asymptotic properties of the quasi maximum likelihood estimators, including consistency, rates of ...
93
Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models
... Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed ...
12
The Poisson quasi maximum likelihood estimator: A solution to the “adding up” problem in gravity models
... The gravity model is ubiquitous in the applied international trade literature. Recent contributions have highlighted a number of shortcomings with the traditional approach of log linearization and OLS estimation. In ...
12
Unified quasi maximum likelihood estimation theory for stable and unstable Markov bilinear processes
... A uni…ed quasi-maximum likelihood (QM L) estimation theory for stationary and nonstationary simple Markov bilinear (SM BL) models is proposed. Such models may be seen as generalized random coe¢cient ...
31
Generalized quasi maximum likelihood inference for periodic conditionally heteroskedastic models
... generalized quasi-maximum likelihood estimate (GQM LE) for a general class of periodic condi- tionally heteroskedastic time series models (P CH ...
45
Poisson qmle of count time series models
... certain maximum likelihood estimators (MLEs) can be consistent and asymptotically normal (CAN) for the parameters of the conditional mean and variance, even if the actual conditional distribution is not ...
33
A mixed portmanteau test for ARMA GARCH model by the quasi maximum exponential likelihood estimation approach
... tool for diagnostic checking of model (1.1)-(1.2) usually fitted by using the Gaussian quasi-maximum likelihood estimator (QMLE) approach. For a discussion on the Gaussian QMLE of model (1.1)-(1.2), ...
15
Iterated Logarithm Laws on GLM Randomly Censored with Random Regressors and Incomplete Information
... for quasi-maximum likelihood estimator of GLM in 2008, meanwhile, Xiao and Liu [6] in 2009 discussed laws of iterated logarithm for maximum likelihood estimator of generalized linear ...
6
Merits and drawbacks of variance targeting in GARCH models
... Gaussian quasi-maximum likelihood estimation (QMLE) (see Berkes, Horváth, and Kokoszka (2003), Francq and Zakoïan (2004), and the recent monograph by Straumann (2005), among ...
25
Qml inference for volatility models with covariates
... In practice, the difficulties are the choice of the parametric form (as illustrated by Bollerslev (2008), there exists a plethora of GARCH formulations) and the estimation of the parameter ϑ 0 . The two problems are ...
40
Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model
... the Quasi-maximum likelihood estimation technique coupled with martingale techniques, while relaxing the independence assumption of the innovations; the paper has shown that the proposed asymmetric ...
37
A semi parametric GARCH (1, 1) estimator under serially dependent innovations
... wrong likelihood functions and hence inconsistent ...under quasi maximum likelihood estimation ...Gaussian Maximum Likelihood estimator is consistent and asymptotically Gaussian, ...
68
Global self weighted and local quasi maximum exponential likelihood estimators for ARMA GARCH/IGARCH models
... and Bollerslev (1986), model (1.1)–(1.2) has been widely used in economics and finance; see Bollerslev, Chou and Kroner (1992), Bera and Higgins (1993), Bollerslev, Engel and Nelson (1994) and Francq and Zakoïan (2010). ...
34
On The Comparison Of Methods Of Estimating Variance Components: A Case Of Gudali Beef Cattle
... (ANOVA), Quasi-maximum-likelihood method (QML), Modified likelihood method (ML), Restricted maximum-likelihood method (REML), and Modified maximum likelihood method ...
11
Estimation and tests for power-transformed and threshold GARCH models
... which is a natural generalization of power-transformed and threshold GARCH(1,1) model in Hwang and Basawa (2004) and includes the standard GARCH model and many other models as special cases. We first establish the ...
39
Estimation of Dynamic Stochastic Frontier Model using Likelihood based Approaches
... the likelihood-based approaches to estimate a DSF model that retains the general setting of the inefficiency, we do not compare our proposed estimator with the other existing estimators, such as the Bayesian ...
37
Quasi maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
... the quasi-maximum exponential likelihood estimator and constructs the portmanteau test for the double AR(p) model of residual autocorrelation function based on certain ...
11
Maximum Entropy and Maximum Likelihood Estimation for the Three Parameter Kappa Distribution
... the maximum likelihood method requires a certain cutoff in the parameter space or a best starting value, for otherwise the solution may appear under-determined instead of a unique answer (there can exist a ...
5
Smoothing Algorithms by Constrained Maximum Likelihood
... and b are estimated by maximizing the log likelihood given in (2.1). With this approach, the bias for portfolio PD can generally be avoided, though the issue with the unjustified uniform risk scale remains. ...
11
Efficient maximum likelihood pedigree reconstruction
... A set of simulations similar to those of Section 3.1 was carried out in which 10,000 genetic profiles for a pedigree consisting of mother, father and three daughters were generated. Figure 8 summarizes the excess ...
24