[PDF] Top 20 Likelihood Inference for Generalized Integer Autoregressive Time Series Models
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Likelihood Inference for Generalized Integer Autoregressive Time Series Models
... computing time increases when there are increases in the (i) number of parameters, (ii) sample size and (iii) maximum ...computing time increase by a factor of slightly more than 4 because the maximum count ... See full document
13
Statistical inference for first order random coefficient integer valued autoregressive processes
... Integer-valued time series have received increasing attention in the probabilistic and sta- tistical literature over the past several years because of its applicability in many different areas such as ... See full document
12
Maximum likelihood estimation of higher-order integer-valued autoregressive processes
... modeling time series of small counts that arise in various …elds of ...in time; the daily number of absent workers in a …rm; the monthly cases of rare infectious diseases in a speci…ed area; the ... See full document
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Inference problems for vector linear time series models
... such models lies in the fact that they are more general than (say) the scalar autoregressive ...order autoregressive models to the ...the likelihood ratio test (see section ... See full document
155
Modified Maximum Likelihood Estimation in Autoregressive Processes with Generalized Exponential Innovations
... a time series following a simple linear regression with first-order autoregressive er- rors belonging to the class of heavy-tailed ...regression models with independent error, since the er- ... See full document
11
Empirical likelihood based inference in Poisson autoregressive model with conditional moment restrictions
... empirical likelihood method are its automatic determi- nation of the shape and orientation of the confidence region by the ...empirical likelihood methodol- ogy to other ...statistical inference ... See full document
13
Generalized quasi maximum likelihood inference for periodic conditionally heteroskedastic models
... the generalized quasi-maximum likelihood estimate (GQM LE) for a general class of periodic condi- tionally heteroskedastic time series models (P CH ...of models, the volatil- ity ... See full document
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Maximum likelihood estimation of time series models: the Kalman filter and beyond
... space models and provides the state space representation of some commonly applied linear processes, such as univariate and multivariate autoregressive moving average processes (ARMA) and dynamic factor ... See full document
31
Negative binomial quasi likelihood inference for general integer valued time series models
... quasi-maximum likelihood estimate (P- QMLE), which is calculated as if the conditional distribution of the model were ...Poisson likelihood belongs to the linear exponential family (White, 1982; Gourieroux ... See full document
55
Generalized Empirical Likelihood M Testing for Semiparametric Models with Time Series Data
... (2004) Generalized Empirical Likelihood (GEL henceforth) framework, in which a preliminary estimator for the infinite di- mensional parameter and a generic (possibly also semiparametric) estimator for the ... See full document
26
Two stage weighted least squares estimator of the conditional mean of observation driven time series models
... We proposed a class of WLS estimators for the conditional mean of a time series, which do not require the whole knowledge of the cdf of the observations. The asymptotic and finite sample properties of these ... See full document
44
Compare Value at Risk and Return of Assets Portfolio Stock, Gold, REIT, U.S. & Iran Market Indices
... these models are in some cases poorly accurate because banks occasionally experienced much losses more than their replicas predicted, which recommends these models are deprived at dealing with fat tails and ... See full document
5
Effects of Liquidity Incentives on Performance of Listed Firms in Kenya
... The stratum A-I represents the 9 industries listed at NSE namely: Agricultural, Commercial and Services, Telecommunication and Technology, Automobiles and Accessories, Banking, Insurance, Investment, Manufacturing and ... See full document
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A flexible approach to parametric inference in nonlinear time series models
... Ιν τερmσ οφ Θ τηε ϖαριανχε ιν τηε στατε εθυατιον ιτ ισ χεντερεδ αππροξιmατελψ οϖερ 0:1 ανδ, τηυσ, ωε αρε αλλοωινγ φορ εϖερψτηινγ φροm ϖερψ σmαλλ το mοδερατελψ λαργε σηιφτσ ιν τηε ΑΡ χοε′[r] ... See full document
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Comparison of Stochastic Models in Forecasting Monthly Streamflow in Rivers: A Case Study of River Nile and Its Tributaries
... Two models are selected to be compared which the best; the deasonalized autoregressive moving aver- age (DARMA) models and seasonal autoregressive integrated moving average (SARIMA) ... See full document
11
Maximum likelihood estimation for directional conditionally autoregressive models
... conditionally autoregressive (CAR) ...spatial models is developed using different weights given to neighbors in dif- ferent ...Maximum likelihood estimators are derived and shown to be consistent ... See full document
33
A flexible approach to parametric inference in nonlinear and time varying time series models
... regime-switching models have been used with macroeconomic and …nancial ...nonlinear time series models, including those with regime-switching and structural ...from models exhibiting ... See full document
38
1 The Daily and Hourly Rainfall Data Modeling using
... Vector Autoregressive (VAR) model is one of multivariate time series models which has dinamic 82. interrelationship among variabels.[r] ... See full document
13
Likelihood-Free Inference in High-Dimensional Models
... ABC inference remains feasi- ble even under models of very high dimensionality, for which current ABC algorithms are not capable of producing mean- ingful ... See full document
21
Moment Properties And Quadratic Estimating Functions For Integer-Valued Time Series Models
... involve integer-valued time series data can be found in the ...over time. As a result, there is a need for integer-valued time series models extended to include ... See full document
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