Displaying similar documents to “Likelihood and quasi - likelihood estimation of transition probabilities”

Change point detection in vector autoregression

Zuzana Prášková (2018)

Kybernetika

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In the paper a sequential monitoring scheme is proposed to detect instability of parameters in a multivariate autoregressive process. The proposed monitoring procedure is based on the quasi-likelihood scores and the quasi-maximum likelihood estimators of the respective parameters computed from a training sample, and it is designed so that the sequential test has a small probability of a false alarm and asymptotic power one as the size of the training sample is sufficiently large. The...

A note on the existence of the maximum likelihood estimate in variance components models

Mariusz Grządziel, Andrzej Michalski (2014)

Discussiones Mathematicae Probability and Statistics

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In the paper, the problem of the existence of the maximum likelihood estimate and the REML estimate in the variance components model is considered. Errors in the proof of Theorem 3.1 in the article of Demidenko and Massam (Sankhyā 61, 1999), giving a necessary and sufficient condition for the existence of the maximum likelihood estimate in this model, are pointed out and corrected. A new proof of Theorem 3.4 in the Demidenko and Massam's article, concerning the existence of the REML...

On maximum likelihood estimation in mixed normal models with two variance components

Mariusz Grządziel (2014)

Discussiones Mathematicae Probability and Statistics

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In the paper we deal with the problem of parameter estimation in the linear normal mixed model with two variance components. We present solutions to the problem of finding the global maximizer of the likelihood function and to the problem of finding the global maximizer of the REML likelihood function in this model.

An estimation method for the reliability of "consecutive-k-out-of-n system"

Ksir, Brahim (2012)

Serdica Mathematical Journal

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2010 Mathematics Subject Classification: 60K10, 60K20, 60J10, 60J20, 62G02, 62G05, 68M15, 62N05, 68M15. This paper is concerned with consecutive-k-out-of-n system in which all the components have the same q lifetime probability, so, it's possible to estimate q from a sample by using the maximum likelihood principle. In the reliability formula of the consecutive-k-out-of-n system appears the term q^k. The goal in this work is to propose a direct estimation of q^k to avoid...

Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models

Haiyan Xuan, Lixin Song, Muhammad Amin, Yongxia Shi (2017)

Open Mathematics

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This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain conditions, the strong consistency and asymptotic normality of QMLE are then established. In what follows, a real example with Laplace and normal distribution is analyzed to evaluate the performance...

Approximate maximum likelihood estimation for a spatial point pattern.

Jorge Mateu, Francisco Montes (2000)

Qüestiió

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Several authors have proposed stochastic and non-stochastic approximations to the maximum likelihood estimate for a spatial point pattern. This approximation is necessary because of the difficulty of evaluating the normalizing constant. However, it appears to be neither a general theory which provides grounds for preferring a particular method, nor any extensive empirical comparisons. In this paper, we review five general methods based on approximations to the maximum likelihood estimate...

Likelihood for interval-censored observations from multi-state models.

Daniel Commenges (2003)

SORT

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We consider the mixed dicrete-continuous pattern of observation in a multi-state model; this is a classical pattern because very often clinical status is assessed at discrete visit times while time of death is observed exactly. The likelihood can easily be written heuristically for such models. However a formal proof is not easy in such observational patterns. We give a rigorous derivation al the likelihood for the illness-death model based on applying Jacod´s formula to an observed...