Fourth order pseudo maximum likelihood methods

DOI10.1016/J.JECONOM.2011.01.004MaRDI QIDQ737907zbMATH OpenOpenAlexFDO

Authors Alberto Holly, Alain Monfort, M. Rockinger

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.01.004

zbMATH Keywords

kurtosisskewnesspseudo maximum likelihoodquartic exponential family

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(4)

• Towards a computationally tractable maximum entropy principle for nonstationary financial time series
• Pseudo Maximum Likelihood Methods: Theory
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• On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle

Describes a project that uses

Uses Software

• nlmdl
• OPQ

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