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中山大学岭南学院高级计量经济学课件（I）CH6 Maximum Likelihood Estimation
中山大学岭南学院 高级计量经济学 课件（I） CH6 Maximum Likelihood Estimation
2017/6/14
中山大学岭南学院高级计量经济学课件（I）CH6 Maximum Likelihood Estimation。
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/20
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Full likelihood inferences in the Cox model:an empirical likelihood approach
Right censored data Empirical likelihood Maximum likelihood estimator Partial likelihood Profile likelihood
2015/12/11
For the regression parameter β0 in the Cox model, there have been several estimators constructed based on various types of approximated likelihood, but none of them has demonstrated small-sample advan...
Smoothed weighted empirical likelihood ratio confidence intervals for quantiles
bootstrap doubly censored data empirical likelihood interval censored data partly interval censored data right censored data
2015/12/11
Thus far, likelihood-based interval estimates for quantiles have not been studied in the literature on interval censored case 2 data and partly interval censored data, and, in this context, the use of...
Maximum likelihood estimation of a nonparametric signal in white noise by optimal control
Nonparametric signal in white noise Maximum likelihood Smoothness classes Extremal problems Optimal control Iterative solution
2015/8/25
We study extremal problems related to nonparametric maximum likelihood estimation (MLE) of a signal in white noise.The aim is to reduce these to standard problems of optimal control which can be solve...
The usual approach to computing empirical likelihood for the mean
uses Newton's method after eliminating a Lagrange multiplier and replacing the function- log(x) by a quadratic Taylor approximation t...
Detecting the Presence of Mixing with Multiscale Maximum Likelihood
Log-concave Mixture detection
2015/8/20
A test of homogeneity tries to decide whether observations come from a single distribution or from a mixture of several distributions.
A powerful theory has been developed for the case where the comp...
MULTISCALE MAXIMUM LIKELIHOOD ANALYSIS OF A SEMIPARAMETRIC MODEL, WITH APPLICATIONS
LIKELIHOOD ANALYSIS SEMIPARAMETRIC MODEL WITH APPLICATIONS
2015/8/20
A special semiparametric model for a univariate density is introduced
that allows analyzing a number of problems via appropriate transformations. Two problems treated in some detail are testing for t...
Discussion of ‘Maximum likelihood estimation of a multi-dimensional log-concave density’ by M. Cule, R. Samworth and M. Stewart
likelihood estimation multi-dimensional log-concave density
2015/8/20
I started looking at log-concave distributions when I was searching for an appropriate model
for subpopulations of multivariate flow cytometry data about ten years ago. The use of log-concave
...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Marginal Likelihood Computation for Hidden Markov Models via Generalized Two-Filter Smoothing
MarginalLikelihood Sequential MonteCarlo Generalized Two-Filter Smoothing
2012/11/21
In this note we introduce an estimate for the marginal likelihood associated to hidden Markov models (HMMs) using sequential Monte Carlo (SMC) approximations of the generalized two-filter smoothing de...
Independent component analysis via nonparametric maximum likelihood estimation
Blind source separation density estimation independent component analysis log-concave projection
2012/6/19
Independent Component Analysis (ICA) models are very popular semiparametric models in which we observe independent copies of a random vector $X = AS$, where $A$ is a non-singular matrix and $S$ has in...
Bayesian interpretation of Generalized empirical likelihood by maximum entropy
Bayesian interpretation Generalized empirical likelihood maximum entropy
2012/3/1
We study a parametric estimation problem related to moment condition models. As an alternative to the generalized empirical likelihood (GEL) and the generalized method of moments (GMM), a Bayesian app...
Empirical Likelihood Inference for Random Coefficient INAR(p) Process
Models of count data Random coefficient INAR process Empirical likelihood Asymptotic distribution
2011/11/5
In this paper, we study the empirical likelihood method for the pth-order random coefficient integer-valued autoregressive process. In particular, the limiting distribution of the log empirical likeli...
Empirical likelihood for first-order random coefficient integer-valued autoregressive processes
INAR model Conditional least square Asymptotic distribution Hypothesis Testing Maximum empirical likelihood
2011/11/5
This paper studies the empirical likelihood method for a first-order random coefficient integer-valued autoregressive model. The limiting distribution of the log empirical likelihood ratio statistic i...