The Distribution of FIML in the Leading Case

DOI10.2307/2526618zbMath0594.62116OpenAlexW2030336841MaRDI QIDQ3725411

Peter C. B. Phillips

Publication date: 1986

Published in: International Economic Review (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0739.pdf

zbMATH Keywords

invariant measuresStiefel manifoldfull information maximum likelihoodlimited information maximum likelihoodmultivariate CauchyFIMLdistribution of FIML in the leading case

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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