Estimation of dynamic models with nonparametric simulated maximum likelihood
From MaRDI portal
Recommendations
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- Simulated Non-Parametric Estimation of Dynamic Models
- Estimation of dynamic latent variable models using simulated non-parametric moments
- A smooth likelihood simulator for dynamic disequilibrium models
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
Cites work
- [article; zbMATH DE number 46016 (Why is no real title available?)]
- [article; zbMATH DE number 1082450 (Why is no real title available?)]
- [article; zbMATH DE number 758455 (Why is no real title available?)]
- [article; zbMATH DE number 837911 (Why is no real title available?)]
- [article; zbMATH DE number 854558 (Why is no real title available?)]
- A Brief Survey of Bandwidth Selection for Density Estimation
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- A theory of the term structure of interest rates
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Approximation of jump diffusions in finance and economics
- Asymptotic optimal inference for non-ergodic models
- Asymptotic properties of Monte Carlo estimators of diffusion processes
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Consistency and Unbiasedness of Certain Nonparametric Tests
- Consistency and asymptotic normality of an approximate maximum likelihood estimator for discretely observed diffusion processes
- Convergence Rates of SNP Density Estimators
- Data-based optimal smoothing of orthogonal series density estimates
- Density estimation by wavelet thresholding
- ERA's: A New Approach to Small Sample Theory
- Efficient estimation of general dynamic models with a continuum of moment conditions
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Large-sample inference for log-spline models
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Likelihood-based inference for cointegration with nonlinear error-correction
- Markov-Perfect Industry Dynamics: A Framework for Empirical Work
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum Likelihood Estimation of Misspecified Models
- Nonlinear Regressions with Integrated Time Series
- Nonparametric econometrics. Theory and practice.
- Nonparametric estimation in null recurrent time series.
- Nonstationary Binary Choice
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- STATISTICAL INFERENCE WITH SIMULATED LIKELIHOOD FUNCTIONS
- Semi-Nonparametric Maximum Likelihood Estimation
- Simulated Moments Estimation of Markov Models of Asset Prices
- Simulated Non-Parametric Estimation of Dynamic Models
- Simulation estimation of time-series models
- Simulation‐based likelihood inference for limited dependent processes
- Smoothing for discrete-valued time series
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
- WEAK DEPENDENCE: MODELS AND APPLICATIONS TO ECONOMETRICS
Cited in
(27)- Simulation and evaluation of the distribution of interest rate risk
- Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies
- A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD
- Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators
- Estimation of ergodic agent-based models by simulated minimum distance
- The sparse method of simulated quantiles: An application to portfolio optimization
- Mining the hidden link structure from distribution flows for a spatial social network
- Simulation-based estimation of dynamic models with continuous equilibrium solutions
- Estimating the DINA model parameters using the No‐U‐Turn Sampler
- Estimation of dynamic latent variable models using simulated non-parametric moments
- scientific article; zbMATH DE number 3923929 (Why is no real title available?)
- A Sieve-SMM Estimator for Dynamic Models
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Estimation of financial agent-based models with simulated maximum likelihood
- Diffusion copulas: identification and estimation
- Some remarks on CCP-based estimators of dynamic models
- Estimation of heuristic switching in behavioral macroeconomic models
- Recovering the real-world density and liquidity premia from option data
- Solving dynamic discrete choice models using smoothing and sieve methods
- Generalized indirect inference for discrete choice models
- Efficient estimation and filtering for multivariate jump-diffusions
- Simulated likelihood estimators for discretely observed jump-diffusions
- Higher-order properties of approximate estimators
- Estimation of agent-based models using Bayesian deep learning approach of BayesFlow
- Estimation by simulation of monotone dynamical systems
- Estimation of partial differential equations with applications in finance
- Simulated Non-Parametric Estimation of Dynamic Models
This page was built for publication: Estimation of dynamic models with nonparametric simulated maximum likelihood
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738137)
