Simulation based calibration using extended balanced augmented empirical likelihood

DOI10.1007/S11222-014-9506-9MaRDI QIDQ5963814zbMATH OpenOpenAlexFDO

Authors Minh Khoa Nguyen, Steve Phelps, Wing Lon Ng

Publication date 23 February 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://kclpure.kcl.ac.uk/portal/en/publications/simulation-based-calibration-using-extended-balanced-augmented-empirical-likelihood(45bd2221-dc10-4720-a4ce-4e79d08dac23).html

zbMATH Keywords

empirical likelihoodunbiased estimation equationbalance adjusted empirical likelihoodsimulation based calibration

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 53676 (Why is no real title available?)
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• Empirical likelihood and general estimating equations
• Empirical likelihood ratio confidence regions
• Empirical properties of asset returns: stylized facts and statistical issues
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulation estimation of time-series models
• Stochastics. Theory and applications.
• The impact of heterogeneous trading rules on the limit order book and order flows

Cited in

(5)

• Balanced augmented jackknife empirical likelihood for two sample U-statistics
• Balanced augmented empirical likelihood for regression models
• Maximum augmented empirical likelihood estimation of categorical marginal models for large sparse contingency tables
• Empirical likelihood ratio in penalty form and the convex hull problem
• Microsimulation model calibration using incremental mixture approximate Bayesian computation

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