Maximum likelihood with a time varying parameter

DOI10.1007/S00362-023-01497-YMaRDI QIDQ6579434zbMATH OpenFDO

Authors A. Lanconelli, Christopher S. A. Lauria

Publication date 25 July 2024

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S00362-023-01497-Y

zbMATH Keywords

exponential familymaxim likelihoodstochastic gradient descent

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Numerical mathematical programming methods (65K05)

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• A Stochastic Approximation Method
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• Adaptive Sequential Stochastic Optimization
• Asymptotical Study of Parameter Tracking Algorithms
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
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• Infinitely stochastic micro reserving
• Information-theoretic optimality of observation-driven time series models for continuous responses
• Maximum Likelihood Estimation of Misspecified Models
• Optimization methods for large-scale machine learning

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(2)

• Tracking time varying parameters via online simplified maximum likelihood
• Non trivial optimal sampling rate for estimating a Lipschitz-continuous function in presence of mean-reverting Ornstein-Uhlenbeck noise

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