Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function

DOI10.1111/J.1467-9469.2008.00611.XzbMATH Open1197.62011OpenAlexW2118720501MaRDI QIDQ3552941FDOQ3552941

Authors: Tore Selland Kleppe, Hans J. Skaug 

Publication date: 22 April 2010

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2008.00611.x

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zbMATH Keywords

maximum likelihoodARMAnetwork modelsaddlepoint approximations

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Introduction to Time Series and Forecasting
• Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data
• Random-Effects Models for Longitudinal Data
• The effect of misspecifying the random-effects distribution in linear mixed models for longitudinal data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Exact saddlepoint approximations
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• Structural Laplace Transform and Compound Autoregressive Models
• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
• Title not available (Why is that?)
• Survival and Hazard Functions for Progressive Diseases Using Saddlepoint Approximations
• Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
• Tail Exactness of Multivariate Saddlepoint Approximations

Cited In (1)

• Fast likelihood-based inference for latent count models using the saddlepoint approximation

Uses Software

• Matlab
• Optimization Toolbox

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