𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Maximum likelihood estimators in regression models with infinite variance innovations

✍ Scribed by Vygantas Paulaauskas; Svetlozar T. Rachev

Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
1014 KB
Volume
44
Category
Article
ISSN
0932-5026

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Smoothed estimates for models with rando
Smoothed estimates for models with random coefficients and infinite variance innovations
✍ A Thavaneswaran; S Peiris πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 575 KB

Infinite variance processes have attracted growing interest in recent years due to its applications in many areas of statistics (see and references therein). For example, ARIMA timeseries models with infinite variance innovations are widely used in financial modelling. However, a little attention h

Corrected maximum-likelihood estimation
Corrected maximum-likelihood estimation in a class of symmetric nonlinear regression models
✍ Gauss M. Cordeiro; Silvia L.P. Ferrari; Miguel A. Uribe-Opazo; Klaus L.P. Vascon πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 122 KB

In this paper we derive general formulae for second-order biases of maximum-likelihood estimates in a class of symmetric nonlinear regression models. This class of models is commonly used for the analysis of data containing extreme or outlying observations in samples from a supposedly normal distrib