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High Dimensional Generalized Empirical Likelihood for Moment Restrictions with Dependent Data
Generalized empirical likelihood High dimensionality Penalized likelihood Variable selec- tion
2016/1/26
This paper considers the maximum generalized empirical likelihood (GEL) estimation and inference on parameters identified by high dimensional moment restrictions with weakly dependent data when the di...
Jackknife Empirical Likelihood Method for Some Risk Measures and Related Quantities
Confidence interval jackknife empirical likelihood risk measure
2016/1/25
Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities stud...
Maximum-Likelihood Estimation For Diffusion Processes Via Closed-Form Density Expansions
asymptotic expansion diffusion discrete observation maximum-likelihood estimation transition density
2016/1/20
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...
On the Approximate Maximum Likelihood Estimation for Diffusion Processes
Asymptotic expansion Asymptotic normality Consistency Dis- crete time observation Maximum likelihood estimation
2016/1/19
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...
Maximum-Likelihood Non-Decreasing Response Estimates
maximum likelihood unimodal PDF families
2011/7/19
Let $x_{i,j}$, $1 \le i \le m$, $1 \le j \le n_i$, be observations from a doubly-indexed sequence $\{X_{i,j}\}$ of independent random variables (all of them discrete, or all of them absolutely continu...