Sökning: "Maximum likelihood estimators"

Visar resultat 1 - 5 av 47 avhandlingar innehållade orden Maximum likelihood estimators.

1. 1. Likelihood-Based Tests for Common and Idiosyncratic Unit Roots in the Exact Factor Model

   Författare :Martin Solberger; Rolf Larsson; Johan Lyhagen; Jean-Pieree Urbain; Uppsala universitet; []
   Nyckelord :panel unit root; dynamic factors; maximum likelihood; Lagrange multiplier; likelihood ratio; factor analysis; Statistics; Statistik;

   Sammanfattning : Dynamic panel data models are widely used by econometricians to study over time the economics of, for example, people, firms, regions, or countries, by pooling information over the cross-section. Though much of the panel research concerns inference in stationary models, macroeconomic data such as GDP, prices, and interest rates are typically trending over time and require in one way or another a nonstationary analysis. LÄS MER

3. 2. Learning Stochastic Nonlinear Dynamical Systems Using Non-stationary Linear Predictors

   Författare :Mohamed Abdalmoaty; Håkan Hjalmarsson; Jimmy Olsson; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Stochastic Nonlinear Systems; Nonlinear System Identification; Learning Dynamical Models; Maximum Likelihood; Estimation; Process Disturbance; Prediction Error Method; Non-stationary Linear Predictors; Intractable Likelihood; Latent Variable Models; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : The estimation problem of stochastic nonlinear parametric models is recognized to be very challenging due to the intractability of the likelihood function. Recently, several methods have been developed to approximate the maximum likelihood estimator and the optimal mean-square error predictor using Monte Carlo methods. LÄS MER

4. 3. Identification of Stochastic Nonlinear Dynamical Models Using Estimating Functions

   Författare :Mohamed Abdalmoaty; Håkan Hjalmarsson; Adrian Wills; KTH; []
   Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Prediction Error Method; Maximum Likelihood; Data-driven; Learning; Stochastic; Nonlinear; Dynamical Models; Non-stationary Linear Predictors; Intractable Likelihood; Latent Variable Models; Estimation; Process Disturbance; Electrical Engineering; Elektro- och systemteknik;

   Sammanfattning : Data-driven modeling of stochastic nonlinear systems is recognized as a very challenging problem, even when reduced to a parameter estimation problem. A main difficulty is the intractability of the likelihood function, which renders favored estimation methods, such as the maximum likelihood method, analytically intractable. LÄS MER

5. 4. On Bounds and Asymptotics of Sequential Monte Carlo Methods for Filtering, Smoothing, and Maximum Likelihood Estimation in State Space Models

   Författare :Jimmy Olsson; Matematisk statistik; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; actuarial mathematics; programming; operations research; Statistics; Matematik; Mathematics; state space models; smoothing; sequential Monte Carlo; particle filter; EM algorithm; maximum likelihood; consistency; Asymptotic normality; Statistik; operationsanalys; programmering; aktuariematematik;

   Sammanfattning : This thesis is based on four papers (A-D) treating filtering, smoothing, and maximum likelihood (ML) estimation in general state space models using stochastic particle filters (also referred to as sequential Monte Carlo (SMC) methods). The aim of Paper A is to study the bias of Monte Carlo integration estimates produced by the so-called bootstrap particle filter. LÄS MER

7. 5. Essays on Estimation Methods for Factor Models and Structural Equation Models

   Författare :Shaobo Jin; Fan Yang-Wallentin; Rolf Larsson; Li Cai; Uppsala universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; shrinkage; factor rotation; penalized maximum likelihood; pseudo-maximum likelihood; multi-group analysis; ordinal data; robustness; Statistics; Statistik;

   Sammanfattning : This thesis which consists of four papers is concerned with estimation methods in factor analysis and structural equation models. New estimation methods are proposed and investigated.In paper I an approximation of the penalized maximum likelihood (ML) is introduced to fit an exploratory factor analysis model. LÄS MER