Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2018.02.002
Abstract: We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations of the price process together with its jump part. We prove strong consistency and… read more here.
Keywords: maximum likelihood; heston model; likelihood estimators; jump type ... See more keywords
Transformed-likelihood estimators for dynamic panel models with a very small T
Sign Up to like & getrecommendations! Published in 2020 at "Political Science Research and Methods"
DOI: 10.1017/psrm.2020.30
Abstract: Conventional OLS fixed-effects and GLS random-effects estimators of dynamic models that control for individual-effects are known to be biased when applied to short panel data (T ≤ 10). GMM estimators are the most used alternative… read more here.
Keywords: estimators dynamic; transformed likelihood; gmm estimators; dynamic panel ... See more keywords
Approximating Partial Likelihood Estimators via Optimal Subsampling
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Computational and Graphical Statistics"
DOI: 10.1080/10618600.2023.2216261
Abstract: With the growing availability of large-scale biomedical data, it is often time-consuming or infeasible to directly perform traditional statistical analysis with relatively limited computing resources at hand. We propose a fast subsampling method to effectively… read more here.
Keywords: approximating partial; optimal subsampling; partial likelihood; estimator ... See more keywords