Consistent Variance Of The Laplace Type Estimators
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Consistent Variance Of The Laplace Type Estimators
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Author : Anna Kormilitsina
language : en
Publisher:
Release Date : 2016
Consistent Variance Of The Laplace Type Estimators written by Anna Kormilitsina and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The Laplace-type estimator has become popular in applied macroeconomics, in particular for estimation of dynamic stochastic general equilibrium (DSGE) models. It is often obtained as the mean and variance of a parameter's quasi-posterior distribution, which is defined using a classical estimation objective. We demonstrate that the objective must be properly scaled; otherwise, arbitrarily small confidence intervals can be obtained if calculated directly from the quasi-posterior distribution. We estimate a standard DSGE model and find that scaling up the objective may be useful in estimation with problematic parameter identification. It this case, however, it is important to adjust the quasi-posterior variance to obtain valid confidence intervals.
Handbook Of Macroeconomics
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Author : John B. Taylor
language : en
Publisher: Elsevier
Release Date : 2016-11-12
Handbook Of Macroeconomics written by John B. Taylor and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-12 with Business & Economics categories.
Handbook of Macroeconomics Volumes 2A and 2B surveys major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues, including fiscal, monetary, and regulatory policies to deal with crises, unemployment, and economic growth. As this volume shows, macroeconomics has undergone a profound change since the publication of the last volume, due in no small part to the questions thrust into the spotlight by the worldwide financial crisis of 2008. With contributions from the world’s leading macroeconomists, its reevaluation of macroeconomic scholarship and assessment of its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade Builds upon Volume 1 by using its section headings to illustrate just how far macroeconomic thought has evolved
Blp Estimation Using Laplace Transformation And Overlapping Simulation Draws
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Author : Han Hong
language : en
Publisher:
Release Date : 2019
Blp Estimation Using Laplace Transformation And Overlapping Simulation Draws written by Han Hong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Orthonormal Series Estimators
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Author : Odile Pons
language : en
Publisher: World Scientific
Release Date : 2020-01-22
Orthonormal Series Estimators written by Odile Pons and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-01-22 with Mathematics categories.
The approximation and the estimation of nonparametric functions by projections on an orthonormal basis of functions are useful in data analysis. This book presents series estimators defined by projections on bases of functions, they extend the estimators of densities to mixture models, deconvolution and inverse problems, to semi-parametric and nonparametric models for regressions, hazard functions and diffusions. They are estimated in the Hilbert spaces with respect to the distribution function of the regressors and their optimal rates of convergence are proved. Their mean square errors depend on the size of the basis which is consistently estimated by cross-validation. Wavelets estimators are defined and studied in the same models.The choice of the basis, with suitable parametrizations, and their estimation improve the existing methods and leads to applications to a wide class of models. The rates of convergence of the series estimators are the best among all nonparametric estimators with a great improvement in multidimensional models. Original methods are developed for the estimation in deconvolution and inverse problems. The asymptotic properties of test statistics based on the estimators are also established.
A First Course On Parametric Inference
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Author : Balvant Keshav Kale
language : en
Publisher: Alpha Science Int'l Ltd.
Release Date : 2005
A First Course On Parametric Inference written by Balvant Keshav Kale and has been published by Alpha Science Int'l Ltd. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Business & Economics categories.
"After a brief historical perspective, A First Course on Parametric Inference, discusses the basic concept of sufficient statistic and the classical approach based on minimum variance unbiased estimator. There is a separate chapter on simultaneous estimation of several parameters. Large sample theory of estimation, based on consistent asymptotically normal estimators obtained by method of moments, percentile and the method of maximum likelihood is also introduced. The tests of hypotheses for finite samples with classical Neyman-Pearson theory is developed pointing out its connection with Bayesian approach. The hypotheses testing and confidence interval techniques are developed leading to likelihood ratio tests, score tests and tests based on maximum likelihood estimators."--BOOK JACKET.
A New Class Of Strongly Consistent Variance Estimators For Steady State Simulations
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Author : Peter W. Glynn
language : en
Publisher:
Release Date : 1986
A New Class Of Strongly Consistent Variance Estimators For Steady State Simulations written by Peter W. Glynn and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.
The principal problem associated with steady-state simulation is the estimation of the variance term in an associated central limit theorem. This paper develops several strongly consistent estimates for this term using the strong approximations available for Brownian motion. A comparison of rates of convergence is given for a variety of estimators. Keywords: confidence intervals; regenerative simulation; simulation output analysis; strongly consistent estimation.
The Laplace Distribution And Generalizations
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Author : Samuel Kotz
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
The Laplace Distribution And Generalizations written by Samuel Kotz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This book describes the inferential and modeling advantages that this distribution, together with its generalizations and modifications, offers. The exposition systematically unfolds with many examples, tables, illustrations, and exercises. A comprehensive index and extensive bibliography also make this book an ideal text for a senior undergraduate and graduate seminar on statistical distributions, or for a short half-term academic course in statistics, applied probability, and finance.
Mixed Models
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Author : Eugene Demidenko
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-05
Mixed Models written by Eugene Demidenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-05 with Mathematics categories.
Praise for the First Edition “This book will serve to greatly complement the growing number of texts dealing with mixed models, and I highly recommend including it in one’s personal library.” —Journal of the American Statistical Association Mixed modeling is a crucial area of statistics, enabling the analysis of clustered and longitudinal data. Mixed Models: Theory and Applications with R, Second Edition fills a gap in existing literature between mathematical and applied statistical books by presenting a powerful examination of mixed model theory and application with special attention given to the implementation in R. The new edition provides in-depth mathematical coverage of mixed models’ statistical properties and numerical algorithms, as well as nontraditional applications, such as regrowth curves, shapes, and images. The book features the latest topics in statistics including modeling of complex clustered or longitudinal data, modeling data with multiple sources of variation, modeling biological variety and heterogeneity, Healthy Akaike Information Criterion (HAIC), parameter multidimensionality, and statistics of image processing. Mixed Models: Theory and Applications with R, Second Edition features unique applications of mixed model methodology, as well as: Comprehensive theoretical discussions illustrated by examples and figures Over 300 exercises, end-of-section problems, updated data sets, and R subroutines Problems and extended projects requiring simulations in R intended to reinforce material Summaries of major results and general points of discussion at the end of each chapter Open problems in mixed modeling methodology, which can be used as the basis for research or PhD dissertations Ideal for graduate-level courses in mixed statistical modeling, the book is also an excellent reference for professionals in a range of fields, including cancer research, computer science, and engineering.
5 2
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Author : Харальд Улиг
language : ru
Publisher: Litres
Release Date : 2022-05-26
5 2 written by Харальд Улиг and has been published by Litres this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-26 with Business & Economics categories.
Книга 2 «Справочного руководства по макроэкономике» содержит анализ факторных моделей, структурных векторных авторегрессий (ВАР), методов решения и оценивания динамических стохастических моделей общего равновесия (ДСМОР), рекурсивных контрактов, эндогенно неполных рынков, разнородных агентов, естественных экспериментов, использования «клиньев» в бухгалтерском анализе моделей циклов экономической активности, неполной информации, проблемы координации действий агентов, а также подробное описание методов сравнения моделей и анализа их устойчивости.
The Work Of Raymond J Carroll
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Author : Marie Davidian
language : en
Publisher: Springer
Release Date : 2014-06-06
The Work Of Raymond J Carroll written by Marie Davidian and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-06 with Mathematics categories.
This volume contains Raymond J. Carroll's research and commentary on its impact by leading statisticians. Each of the seven main parts focuses on a key research area: Measurement Error, Transformation and Weighting, Epidemiology, Nonparametric and Semiparametric Regression for Independent Data, Nonparametric and Semiparametric Regression for Dependent Data, Robustness, and other work. The seven subject areas reviewed in this book were chosen by Ray himself, as were the articles representing each area. The commentaries not only review Ray’s work, but are also filled with history and anecdotes. Raymond J. Carroll’s impact on statistics and numerous other fields of science is far-reaching. His vast catalog of work spans from fundamental contributions to statistical theory to innovative methodological development and new insights in disciplinary science. From the outset of his career, rather than taking the “safe” route of pursuing incremental advances, Ray has focused on tackling the most important challenges. In doing so, it is fair to say that he has defined a host of statistics areas, including weighting and transformation in regression, measurement error modeling, quantitative methods for nutritional epidemiology and non- and semiparametric regression.