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

DOI10.1111/J.1467-9469.2008.00611.XMaRDI QIDQ3552941zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 997340 (Why is no real title available?)
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 1456803 (Why is no real title available?)
• Automatic approximation of the marginal likelihood in non-Gaussian hierarchical models
• Exact saddlepoint approximations
• Introduction to Time Series and Forecasting
• Linear Mixed Models with Flexible Distributions of Random Effects for Longitudinal Data
• Random-Effects Models for Longitudinal Data
• Saddlepoint Approximations to the CDF of Some Statistics with Nonnormal Limit Distributions
• Structural Laplace Transform and Compound Autoregressive Models
• Survival and Hazard Functions for Progressive Diseases Using Saddlepoint Approximations
• Tail Exactness of Multivariate Saddlepoint Approximations
• The effect of misspecifying the random-effects distribution in linear mixed models for longitudinal data
• Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method

Cited in

(1)

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

Describes a project that uses

Uses Software

• Optimization Toolbox
• Matlab

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