The MLE of Aigner, Amemiya, and Poirier is not the expectile MLE
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DOI: 10.1080/07474938.2021.1899505
Abstract: Abstract This article compares two asymmetric Gaussian likelihood models and their corresponding estimators. Recently, there has been confusion in the literature regarding these models and (1) whether they are the same, or (2) whether both… read more here.
Keywords: mle; mle aigner; poirier expectile; aigner amemiya ... See more keywords