Singer, Hermann (1995) Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values. ECONOMETRIC THEORY, 11 (4). pp. 721-735. ISSN 0266-4666, 1469-4360
Full text not available from this repository.Abstract
The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived nonlinear optimization algorithm with analytical score function can be used for the discrete time case as well.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EM ALGORITHM; MODELS |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 17 Nov 2023 12:16 |
| Last Modified: | 17 Nov 2023 12:16 |
| URI: | https://pred.uni-regensburg.de/id/eprint/52285 |
Actions (login required)
 |
View Item |
