On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2008.12.008 ◽

2009 ◽

Vol 79 (8) ◽

pp. 2556-2565 ◽

Author(s):

Shuangzhe Liu ◽

Heinz Neudecker

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Multivariate Time Series ◽

Likelihood Estimation ◽

Time Series Models ◽

Conditional Heteroskedasticity ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

The Annals of Statistics ◽

10.1214/11-aos931 ◽

2011 ◽

Vol 39 (6) ◽

pp. 3152-3181 ◽

Author(s):

Javier Hualde ◽

Peter M. Robinson

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

Journal of the American Statistical Association ◽

10.1080/01621459.2000.10474323 ◽

2000 ◽

Vol 95 (452) ◽

pp. 1229-1243 ◽

Author(s):

Carlos Velasco ◽

Peter M. Robinson

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Nonstationary Time Series ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Exact maximum likelihood estimation of structured or unit root multivariate time series models

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2005.06.009 ◽

2006 ◽

Vol 50 (11) ◽

pp. 2958-2986 ◽

Author(s):

Guy Mélard ◽

Roch Roy ◽

Abdessamad Saidi

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Multivariate Time Series ◽

Likelihood Estimation ◽

Time Series Models ◽

Exact Maximum Likelihood

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Pseudo maximum likelihood estimation and a test for misspecification in mean and covariance structure models

Psychometrika ◽

10.1007/bf02294626 ◽

1989 ◽

Vol 54 (3) ◽

pp. 409-425 ◽

Author(s):

Gerhard Arminger ◽

Ronald J. Schoenberg

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Covariance Structure ◽

Likelihood Estimation ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood ◽

Covariance Structure Models

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Pseudo maximum likelihood estimation in elliptical theory: Effects of misspecification

Computational Statistics & Data Analysis ◽

10.1016/0167-9473(94)90175-9 ◽

1994 ◽

Vol 18 (2) ◽

pp. 255-267 ◽

Author(s):

Maia Berkane ◽

Yutaka Kano ◽

Peter M. Bentler

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Journal of Econometrics ◽

10.1016/j.jeconom.2017.05.019 ◽

2018 ◽

Vol 202 (1) ◽

pp. 92-107 ◽

Author(s):

Abhimanyu Gupta ◽

Peter M. Robinson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Pseudo Maximum Likelihood Estimation ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

Pseudo Maximum Likelihood

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Quasi Maximum Likelihood Estimation in Conditionally Heteroscedastic Time Series Models: A Stochastic Recurrence Equations Approach

Estimation in Conditionally Heteroscedastic Time Series Models - Lecture Notes in Statistics ◽

10.1007/3-540-26978-9_5 ◽

2006 ◽

pp. 85-140

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Time Series Models ◽

Recurrence Equations ◽

Stochastic Recurrence ◽

Quasi Maximum Likelihood

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Further Results on Pseudo‐Maximum Likelihood Estimation and Testing in the Constant Elasticity of Variance Continuous Time Model

Journal of Time Series Analysis ◽

10.1111/jtsa.12499 ◽

2019 ◽

Vol 41 (2) ◽

pp. 357-364

Author(s):

Emma M. Iglesias ◽

Garry D. A. Phillips

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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Pseudo-maximum likelihood estimation of ARCH(∞) models

The Annals of Statistics ◽

10.1214/009053606000000245 ◽

2006 ◽

Vol 34 (3) ◽

pp. 1049-1074 ◽

Author(s):

Peter M. Robinson ◽

Paolo Zaffaroni

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Arch Models ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood

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A novel pseudo-maximum likelihood estimation method for accelerated degradation tests under Wiener process

Quality and Reliability Engineering International ◽

10.1002/qre.2400 ◽

2018 ◽

Vol 35 (1) ◽

pp. 304-317 ◽

Author(s):

Han Wang ◽

Yu Zhao ◽

Xiaobing Ma ◽

Zhihua Wang

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Wiener Process ◽

Estimation Method ◽

Likelihood Estimation ◽

Accelerated Degradation ◽

Degradation Tests ◽

Pseudo Maximum Likelihood Estimation ◽

Pseudo Maximum Likelihood ◽

Maximum Likelihood Estimation Method

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