simulated maximum likelihood Recently Published Documents

Particle Filter ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Stochastic Volatility Models ◽

Volatility Models

Simulated Maximum Likelihood Estimation of Agent-Based Models in Economics and Finance

Network Theory and Agent-Based Modeling in Economics and Finance ◽

10.1007/978-981-13-8319-9_10 ◽

2019 ◽

pp. 203-226

Author(s):

Jiri Kukacka

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Agent Based Models ◽

Agent Based

A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error

Computational Statistics ◽

10.1007/s00180-018-0846-3 ◽

2018 ◽

Vol 34 (2) ◽

pp. 847-863

Author(s):

Libo Sun ◽

Chihoon Lee ◽

Jennifer A. Hoeting

Keyword(s):

Maximum Likelihood ◽

Measurement Error ◽

Maximum Likelihood Method ◽

Likelihood Method ◽

Simulated Maximum Likelihood

On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

SSRN Electronic Journal ◽

10.2139/ssrn.3299450 ◽

2018 ◽

Cited By ~ 1

Author(s):

Jiri Kukacka ◽

Tae‐Seok Jang ◽

Stephen Sacht

Keyword(s):

Maximum Likelihood ◽

Macroeconomic Models

Estimation of financial agent-based models with simulated maximum likelihood

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2017.09.006 ◽

2017 ◽

Vol 85 ◽

pp. 21-45 ◽

Cited By ~ 20

Author(s):

Jiri Kukacka ◽

Jozef Barunik

Keyword(s):

Maximum Likelihood ◽

Agent Based Models ◽

Agent Based

A simulated maximum likelihood method for estimation of stochastic Wiener systems

2016 IEEE 55th Conference on Decision and Control (CDC) ◽

10.1109/cdc.2016.7798727 ◽

2016 ◽

Cited By ~ 7

Author(s):

Mohamed Rasheed Abdalmoaty ◽

Hakan Hjalmarsson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Method ◽

Likelihood Method ◽

Wiener Systems

Simulated maximum likelihood estimation in joint models for multiple longitudinal markers and recurrent events of multiple types, in the presence of a terminal event

Journal of Applied Statistics ◽

10.1080/02664763.2016.1262336 ◽

2016 ◽

Vol 44 (15) ◽

pp. 2756-2777 ◽

Cited By ~ 1

Author(s):

M. H. Hof ◽

J. Z. Musoro ◽

R. B. Geskus ◽

G. H. Struijk ◽

I. J. M. ten Berge ◽

...

Keyword(s):

Maximum Likelihood ◽

Recurrent Events ◽

Likelihood Estimation ◽

Terminal Event ◽

Joint Models ◽

Simulated Maximum Likelihood

Spatial Econometrics: Qualitative and Limited Dependent Variables - Advances in Econometrics ◽

Fast Simulated Maximum Likelihood Estimation of the Spatial Probit Model Capable of Handling Large Samples

10.1108/s0731-905320160000037008 ◽

2016 ◽

pp. 3-34 ◽

Cited By ~ 4

Author(s):

R. Kelley Pace ◽

James P. LeSage

Keyword(s):

Maximum Likelihood ◽

Likelihood Estimation ◽

Probit Model ◽

Large Samples ◽

Spatial Probit

Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions

Quantitative Finance ◽

10.1080/14697688.2016.1185142 ◽

2016 ◽

Vol 16 (9) ◽

pp. 1393-1411 ◽

Cited By ~ 6

Author(s):

Yijie Peng ◽

Michael C. Fu ◽

Jian-Qiang Hu

Keyword(s):

Maximum Likelihood ◽

Stochastic Volatility ◽

Likelihood Estimation ◽

Characteristic Functions ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Gradient Based

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

SSRN Electronic Journal ◽

10.2139/ssrn.2783663 ◽

2016 ◽

Cited By ~ 5

Author(s):

Jiri Kukacka ◽

Jozef Barunik

Keyword(s):

Maximum Likelihood ◽

Agent Based Models ◽

Agent Based