Filtered likelihood for point processes (Q1745614): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2017.11.011
+Normal rank
@@ Property / OpenAlex ID @@
+W3124581022
@@ Property / OpenAlex ID: W3124581022 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
+Normal rank
@@ Property / cites work @@
+Closed-form likelihood expansions for multivariate diffusions
+Normal rank
@@ Property / cites work @@
+Mutual excitation in Eurozone sovereign CDS
@@ Property / cites work: Mutual excitation in Eurozone sovereign CDS / rank @@
+Normal rank
@@ Property / cites work @@
+Statistical models based on counting processes
@@ Property / cites work: Statistical models based on counting processes / rank @@
+Normal rank
@@ Property / cites work @@
+Cox's regression model for counting processes: A large sample study
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+A weak convergence criterion for constructing changes of measure
+Normal rank
@@ Property / cites work @@
+Modelling security market events in continuous time: intensity based, multivariate point process models
+Normal rank
@@ Property / cites work @@
+Q3219607
@@ Property / cites work: Q3219607 / rank @@
+Normal rank
@@ Property / cites work @@
+Smooth densities for solutions to stochastic differential equations with jumps
+Normal rank
@@ Property / cites work @@
+A stochastic approximation type EM algorithm for the mixture problem
+Normal rank
@@ Property / cites work @@
+Monte Carlo EM Estimation for Time Series Models Involving Counts
+Normal rank
@@ Property / cites work @@
+Q5654899
@@ Property / cites work: Q5654899 / rank @@
+Normal rank
@@ Property / cites work @@
+An Introduction to the Theory of Point Processes
@@ Property / cites work: An Introduction to the Theory of Point Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4139463
@@ Property / cites work: Q4139463 / rank @@
+Normal rank
@@ Property / cites work @@
+Consistency of the maximum likelihood estimator for general hidden Markov models
+Normal rank
@@ Property / cites work @@
+Efficient Monte Carlo simulation of security prices
+Normal rank
@@ Property / cites work @@
+Term Structures of Credit Spreads with Incomplete Accounting Information
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation for continuous-time stochastic processes
+Normal rank
@@ Property / cites work @@
+Filtered likelihood for point processes
@@ Property / cites work: Filtered likelihood for point processes / rank @@
+Normal rank
@@ Property / cites work @@
+Recurrent events and the exploding Cox model
@@ Property / cites work: Recurrent events and the exploding Cox model / rank @@
+Normal rank
@@ Property / cites work @@
+The Asymptotic Efficiency of Simulation Estimators
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectra of some self-exciting and mutually exciting point processes
+Normal rank
@@ Property / cites work @@
+The Relationship Between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Longitudinal Data
+Normal rank
@@ Property / cites work @@
+Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
+Normal rank
@@ Property / cites work @@
+Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
+Normal rank
@@ Property / cites work @@
+Q3920437
@@ Property / cites work: Q3920437 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian State-Space Modeling of Nonstationary Time Series
+Normal rank
@@ Property / cites work @@
+On the unnormalized solution of the filtering problem with counting process observations
+Normal rank
@@ Property / cites work @@
+Q4463158
@@ Property / cites work: Q4463158 / rank @@
+Normal rank
@@ Property / cites work @@
+The multi-state latent factor intensity model for credit rating transitions
+Normal rank
@@ Property / cites work @@
+Modeling frailty-correlated defaults using many macroeconomic covariates
+Normal rank
@@ Property / cites work @@
+Martingale problems for conditional distributions of Markov processes
+Normal rank
@@ Property / cites work @@
+Unique characterization of conditional distributions in nonlinear filtering
+Normal rank
@@ Property / cites work @@
+Econometric Methods for the Duration of Unemployment
+Normal rank
@@ Property / cites work @@
+On the preservation of local asymptotic normality under information loss
+Normal rank
@@ Property / cites work @@
+Consistency in a proportional hazards model incorporating a random effect
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for the frailty model
@@ Property / cites work: Asymptotic theory for the frailty model / rank @@
+Normal rank
@@ Property / cites work @@
+Q4012692
@@ Property / cites work: Q4012692 / rank @@
+Normal rank
@@ Property / cites work @@
+The stochastic EM algorithm: Estimation and asymptotic results
+Normal rank
@@ Property / cites work @@
+The asymptotic behaviour of maximum likelihood estimators for stationary point processes
+Normal rank
@@ Property / cites work @@
+Asymptotic theory for the correlated gamma-frailty model
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation for stationary point processes
+Normal rank
@@ Property / cites work @@
+The Malliavin calculus for SDE with jumps and the partially hypoelliptic problem
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
+Normal rank