Gaussian pseudo-maximum likelihood estimation of fractional time series models

Likelihood Estimation ◽

Time Series Models ◽

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 ◽

Cited By ~ 4

Author(s):

Shuangzhe Liu ◽

Heinz Neudecker

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Multivariate Time Series ◽

Likelihood Estimation ◽

Time Series Models ◽

Conditional Heteroskedasticity ◽

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 ◽

Cited By ~ 101

Author(s):

Carlos Velasco ◽

Peter M. Robinson

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Likelihood Estimation ◽

Nonstationary Time Series ◽

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 ◽

Cited By ~ 56

Author(s):

Gerhard Arminger ◽

Ronald J. Schoenberg

Keyword(s):

Maximum Likelihood ◽

Covariance Structure ◽

Likelihood Estimation ◽

Pseudo Maximum Likelihood ◽

Covariance Structure Models

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 ◽

Cited By ~ 20

Author(s):

Maia Berkane ◽

Yutaka Kano ◽

Peter M. Bentler

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

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 ◽

Cited By ~ 7

Author(s):

Abhimanyu Gupta ◽

Peter M. Robinson

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

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

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

10.1007/3-540-26978-9_5 ◽

2006 ◽

pp. 85-140

Keyword(s):

Time Series ◽

Maximum Likelihood ◽

Likelihood Estimation ◽

Time Series Models ◽

Recurrence Equations ◽

Stochastic Recurrence ◽

Quasi Maximum Likelihood

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 ◽

Continuous Time ◽

Likelihood Estimation ◽

Continuous Time Model ◽

Time Model ◽

Constant Elasticity ◽

Constant Elasticity Of Variance ◽

Pseudo-maximum likelihood estimation of ARCH(∞) models

The Annals of Statistics ◽

10.1214/009053606000000245 ◽

2006 ◽

Vol 34 (3) ◽

pp. 1049-1074 ◽

Cited By ~ 55

Author(s):

Peter M. Robinson ◽

Paolo Zaffaroni

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arch Models ◽

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 ◽

Cited By ~ 1

Author(s):

Han Wang ◽

Yu Zhao ◽

Xiaobing Ma ◽

Zhihua Wang

Keyword(s):

Maximum Likelihood ◽

Wiener Process ◽

Estimation Method ◽

Likelihood Estimation ◽

Accelerated Degradation ◽

Degradation Tests ◽

Maximum Likelihood Estimation Method

Pseudo Maximum Likelihood ◽

Corrigendum

Econometric Theory ◽

10.1017/s0266466600008793 ◽

1994 ◽

Vol 10 (3-4) ◽

pp. 811-811

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Arma Models ◽

B.M. Pötscher, Noninvertibility and Pseudo Maximum Likelihood Estimation of Misspecified ARMA Models. Econometric Theory 7 (1991): 435–449.