相关论文: Quasi-maximum likelihood estimation of periodic GA…

This paper examines some probabilistic properties of the class of periodic GARCH processes (PGARCH) which feature periodicity in conditional heteroskedasticity. In these models, the parameters are allowed to switch between different…

Generalized Linear Mixed Models (GLMMs) are widely used for analysing clustered data. One well-established method of overcoming the integral in the marginal likelihood function for GLMMs is penalized quasi-likelihood (PQL) estimation,…

In this paper, we study the log-likelihood function and Maximum Likelihood Estimate (MLE) for the matrix normal model for both real and complex models. We describe the exact number of samples needed to achieve (almost surely) three…

With the rapid advancements in technology for data collection, the application of the spatial autoregressive (SAR) model has become increasingly prevalent in real-world analysis, particularly when dealing with large datasets. However, the…

This paper introduces a novel quasi-likelihood extension of the generalised Kendall \(\tau_{a}\) estimator, together with an extension of the Kemeny metric and its associated covariance and correlation forms. The central contribution is to…

The paper studies large sample asymptotic properties of the Maximum Likelihood Estimator (MLE) for the parameter of a continuous time Markov chain, observed in white noise. Using the method of weak convergence of likelihoods due to…

In this paper, we first use PDE techniques and probabilistic methods to identify a kind of quasi-continuous random variables. Then we give a characterization of the $G$-integrable processes and get a kind of quasi-continuous processes by…

We prove the existence of time quasi-periodic vortex patch solutions of the 2$d$-Euler equations in $\mathbb{R}^2$, close to uniformly rotating Kirchhoff elliptical vortices, with aspect ratios belonging to a set of asymptotically full…

Asymptotics of maximum likelihood estimation for $\alpha$-stable law are analytically investigated with a continuous parameterization. The consistency and asymptotic normality are shown on the interior of the whole parameter space. Although…

We explore a linear inhomogeneous elasticity equation with random Lam\'e parameters. The latter are parameterized by a countably infinite number of terms in separated expansions. The main aim of this work is to estimate expected values…

The maximum likelihood estimator (MLE) is pivotal in statistical inference, yet its application is often hindered by the absence of closed-form solutions for many models. This poses challenges in real-time computation scenarios,…

Strong consistency of the maximum likelihood estimator (MLE) for parametric Gibbs point process models is established. The setting is very general. It includes pairwise pair potentials, finite and infinite multibody interactions and…

Written with respect to an appropriate Poisson structure, a partially integrable Hamiltonian system is viewed as a completely integrable system with parameters. Then, the theorem on quasi-periodic stability in Ref. [1] (the KAM theorem) can…

A variety of estimators for the parameters of the Generalized Pareto distribution, the approximating distribution for excesses over a high threshold, have been proposed, always assuming the underlying data to be independent. We recently…

We investigate the properties of a continuous time GARCH process as the solution to a L\'evy driven stochastic functional integral equation. This process occurs as a weak limit of a sequence of discrete time GARCH processes as the time…

In this paper we study the simple semi-L\'evy driven continuous-time generalized autoregressive conditionally heteroscedastic (SS-COGARCH) process. The statistical properties of this process are characterized. This process has the potential…

From the beginning of KAM theory, it was realized that its applicability to realistic problems depended on developing quantitative estimates on the sizes of the perturbations allowed. In this paper we present results on the existence of…

There is a vast amount of literature concerning the appropriateness of various perturbation parameters for the standard quasi-steady state approximation in the Michaelis-Menten reaction mechanism, and also concerning the relevance of these…

This paper studies the joint inference on conditional volatility parameters and the innovation moments by means of bootstrap to test for the existence of moments for GARCH(p,q) processes. We propose a residual bootstrap to mimic the joint…

This work deals with the existence of an almost periodic solution for certain kind of differential equations with generalized piecewise constant argument, almost periodic coefficients which are seen as a perturbation of a linear equation of…