A New Algorithm for Approximate Maximum Likelihood Estimation in Sub-fractional Chan-Karolyi-Longstaff-Sanders Model

Maximum Likelihood Estimation of Parameters in Generalized Functional Linear Model

Sometimes, in practice, data are a function of another variable, which is called functional data. If the scalar response variable is categorical or discrete, and the covariates are functional, then a generalized functional linear model is used to analyze this type of data. In this paper, a truncated generalized functional linear model is studied and a maximum likelihood approach is used to esti...

Approximate Maximum Likelihood Method for Frequency Estimation

A frequency can be estimated by few Discrete Fourier Transform (DFT) coefficients, see Rife and Vincent (1970), Quinn (1994, 1997). This approach is computationally efficient. However, the statistical efficiency of the estimator depends on the location of the frequency. In this paper, we explain this approach from a point of view of an Approximate Maximum Likelihood (AML) method. Then we enhanc...

Approximate Maximum Likelihood Estimation in Linear Regression*

A b s t r a c t. The application of the ML method in linear regression requires a parametric form for the error density. When this is not available, the density may be parameterized by its cumulants (~i) and the ML then applied. Results , (i+2)/2 are obtained when the standardized cumulants (~/~) satisfy ~/~ = ~i+2/~2 = O(v i) as v-~ 0 for i > 0.

Chan Maximum Likelihood Estimation ( LaTeX prepared by Shaobo Fang

Maximum likelihood estimation of the multivariate fractional cointegrating model

Departures from an economic equilibrium should be mean reverting. The deviations are often assumed to be integrated of order zero but this is too restrictive. It is sufficient that the shocks are integrated of an order less than one, i.e. they may be fractionally integrated. A fractionally cointegrated system is developed. Further, estimation and testing are discussed, analytically and by Monte...