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This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
This paper proposes a widely applicable method of approximate maximum-likelihood estimation for multivariate diffusion process from discretely sampled data. A closed-form asymptotic expansion for tran...
The transition density of a diffusion process does not admit an explicit expression in general, which prevents the full maximum likelihood estimation (MLE) based on discretely observed sample paths. A...
Missing data estimation is an important challenge with high-dimensional data arranged in the form of an array.In this paper we propose a probability model for partially observed multi-way array data. ...
In this article, we discuss the composite likelihood estimation of sparse Gaussian graph-ical models. When there are symmetry constraints on the concentration matrix or partial correlation matrix, the...
The Ising model is a useful tool for studying complex interactions within a system. The estimation of such a model, however, is rather challenging, especially in the presence of high-dimensional param...
Cluster-weighted modeling (CWM) is a mixture approach for modeling the joint probability of a response variable and a set of explanatory variables. The parame-ters are estimated by means of the expect...
We study maximum likelihood estimation for the statistical model for both directed and undirected random graph models in which the degree sequences areminimal sufficient statistics. In the undirected...
We study the smoothed log-concave maximum likelihood estimator of a probability distribution on $\mathbb{R}^d$. This is a fully automatic nonparametric density estimator, obtained as a canonical smoot...
We study maximum likelihood estimation in Gaussian graphical models from a geometric point of view. An algebraic elimination criterion allows us to find exact lower bounds on the number of observation...
A framework of generalized linear point process models (glppm) much akin to glm for regression is developed where the intensity depends upon a linear predictor process through a known function.In the ...
Upon reading the paper Efficient Likelihood Estimation in State Space Models by Cheng-Der Fuh I found a number of problems in the formulations and a number of mathematical errors. Together, these fi...
In this paper, the maximum Lq-likelihood estimator (MLqE), a new parameter estimator based on nonextensive entropy [Kibernetika 3 (1967) 30–35] is introduced. The properties of the MLqE are stud- i...
The non-Gaussian quasi maximum likelihood estimator is frequently used in GARCH models with intension to improve the efficiency of the GARCH parameters. However, the method is usually inconsistent u...
Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67–84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes...

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