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Considerate Approaches to Achieving Sufficiency for ABC model selection
Considerate Approaches Achieving Sufficiency ABC model selection
2011/7/6
For nearly any challenging scientific problem evaluation of the likelihood is problematic if not impossible. Approximate Bayesian computation (ABC) allows us to employ the whole Bayesian formalism to ...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
Statistical models defined by sufficiency。
On the definition of probability densities and sufficiency of the likelihood map
the definition of probability densities sufficiency of the likelihood map
2009/9/22
The defiition and sufficiency of the likelihood map are
discussed in detail. It is shown that the likelihood map is sdlicient
without any restriction on the family of probability measures and that
...
From the likelihood map to Euclidean minimal sufficiency
the likelihood map Euclidean minimal sufficiency
2009/9/22
We use the minimal sufficiency of the likelihood map
(Fraser et al. 1911 to show the existence of a minimal sufficient statistic
with Euclidean range under weak regularity conditions, and to extend
...