Sökning: "maximum likelihood estimation"

Visar resultat 11 - 15 av 140 avhandlingar innehållade orden maximum likelihood estimation.

  1. 11. 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. 12. On Spectral Estimation and Bistatic Clutter Suppression in Radar Systems

    Författare :Jacob Klintberg; Chalmers tekniska högskola; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Radar Signal Processing; Parametric Spectral Estimation; Maximum Likelihood Estimation; Space-Time Adaptive Processing;

    Sammanfattning : Target detection serve as one of the primary objectives in a radar system. From observations, contaminated by receiver thermal noise and interference, the processor needs to determine between target absence or target presence in the current measurements. LÄS MER

  4. 13. Simulation and Estimation of Diffusion Processes : Applications in Finance

    Författare :Carl Åkerlindh; Finansiell matematik; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Diffusion processes; Kalman filter; Uncented Kalman filter; EM algorithm; Kernel estimation; Bandwidth selection; Multilevel Monte Carlo; Simulated maximum likelihood estimation; Julia language;

    Sammanfattning : Diffusion processes are the most commonly used models in mathematical finance, and are used extensively not only by academics but also practitioners. Nowadays a wide range of models, that can capture many of the effects observed in financial markets, are available. LÄS MER

  5. 14. 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

  7. 15. 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