a weighted pairwise likelihood approach to multivariate ar(1) models
نویسندگان
چکیده
in this paper, the use of weighted pairwise likelihood instead of the full likelihood in estimating the parameters of the multivariate ar(1) is investigated. a closed formula for typical elements of the godambe information(sandwich information) is presented. some efficiency calculations are also given to discuss the feasibility andcomputational advantages of the weighted pairwise likelihood approach relative to the full likelihood approach.
منابع مشابه
A weighted pairwise likelihood approach to multivariate AR(1) models
In this paper, the use of weighted pairwise likelihood instead of the full likelihood in estimating the parameters of the multivariate AR(1) is investigated. A closed formula for typical elements of the Godambe information (sandwich information) is presented. Some efficiency calculations are also given to discuss the feasibility and computational advantages of the weighted pairwise likelihood a...
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عنوان ژورنال:
iranian journal of science and technology (sciences)ISSN 1028-6276
دوره 36
شماره 2 2012
میزبانی شده توسط پلتفرم ابری doprax.com
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