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Maximization by Parts in Likelihood Inference

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  • Song, Peter X.K.
  • Fan, Yanqin
  • Kalbfleisch, John D.
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    File URL: http://www.ingentaconnect.com/content/asa/jasa/2005/00000100/00000472/art00005
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 100 (2005)
    Issue (Month): (December)
    Pages: 1145-1158

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    Handle: RePEc:bes:jnlasa:v:100:y:2005:p:1145-1158

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    Cited by:
    1. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate Rotated ARCH Models," Economics Papers 2012-W01, Economics Group, Nuffield College, University of Oxford.
    2. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2014. "Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models," SFB 649 Discussion Papers SFB649DP2014-010, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Manabu Asai & Michael McAleer, 2010. "Dynamic Conditional Correlations for Asymmetric Processes," KIER Working Papers 747, Kyoto University, Institute of Economic Research.
    4. Hafner, Christian M. & Reznikova, Olga, 2010. "Efficient estimation of a semiparametric dynamic copula model," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2609-2627, November.
    5. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
    6. Jiming Jiang & P. Lahiri, 2006. "Mixed model prediction and small area estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(1), pages 1-96, June.
    7. Cristina Amado & Timo Teräsvirta, 2011. "Modelling Volatility by Variance Decomposition," CREATES Research Papers 2011-01, School of Economics and Management, University of Aarhus.
    8. Noureldin, Diaa & Shephard, Neil & Sheppard, Kevin, 2014. "Multivariate rotated ARCH models," Journal of Econometrics, Elsevier, vol. 179(1), pages 16-30.
    9. Krämer, Nicole & Brechmann, Eike C. & Silvestrini, Daniel & Czado, Claudia, 2013. "Total loss estimation using copula-based regression models," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 829-839.
    10. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
    11. Fan, Yanqin & Gentry, Matthew & Li, Tong, 2011. "A new class of asymptotically efficient estimators for moment condition models," Journal of Econometrics, Elsevier, vol. 162(2), pages 268-277, June.
    12. Li, Lihui & Wen, Tao, 2013. "Estimation of C-MGARCH models based on the MBP method," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 665-673.

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