Quasi-maximum likelihood estimation for conditional quantiles
- Author
- KOMUNJER, Ivana1
[1] Division of the Humanities and Social Sciences 228-77, California Institute of Technology, Pasadena, CA 91125, United States - Source
Journal of econometrics. 2005, Vol 128, Num 1, pp 137-164, 28 p ; ref : 1 p.1/2
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Asymptotic distribution C22 C51 C61 Tick-exponential family Conditional quantiles Minimax representation Misspecification QMLE
- Keyword (fr)
- Analyse donnée Convergence asymptotique Donnée économique Econométrie Estimation densité Estimation statistique Famille exponentielle Loi conditionnelle Loi normale Matrice covariance Maximum vraisemblance Modèle non linéaire Méthode minimax Quantile Régression statistique Série temporelle Loi asymptotique Modèle mal spécifié Quasi maximum vraisemblance Quasi vraisemblance Vraisemblance conditionnelle
- Keyword (en)
- Data analysis Asymptotic convergence Economic data Econometrics Density estimation Statistical estimation Exponential family Conditional distribution Gaussian distribution Covariance matrix Maximum likelihood Non linear model Minimax method Quantile Statistical regression Time series Misspecified model Quasi likelihood Conditional likelihood
- Keyword (es)
- Análisis datos Convergencia asintótica Dato económico Econometría Estimación densidad Estimación estadística Familia exponencial Ley condicional Curva Gauss Matriz covariancia Maxima verosimilitud Modelo no lineal Método minimax Cuantila Regresión estadística Serie temporal
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02J Linear inference, regression
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16942805
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2004.08.010 
https://dx.doi.org/10.1016/j.jeconom.2004.08.010
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