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Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...
A semiparametric estimation of copula models based on the method of moments
Moments Copulas Dependence Parametric estimation Archimedean copulas
2011/6/20
Using the classical estimation method of moments, we propose a new semiparametric estima-
tion procedure for multi-parameter copula models. Consistency and asymptotic normality of
the obtained estim...
Bayesian Generalized Method of Moments
Bayesian inference Correlated data Estimation efficiency Generalized linear model
2009/9/24
We propose the Bayesian generalized method of moments(GMM),
which is particularly useful when likelihood-based methods are difficult.Byde-
riving the moments and concatenating them together,we build...
Asymptotic Efficiency of Method of Moments Estimators Under Null Intercept Measurement Error Regression Models
Asymptotic Efficiency Null Intercept Measurement Error Regression Models
2009/9/17
Asymptotic Efficiency of Method of Moments Estimators Under Null Intercept Measurement Error Regression Models。