Filtered likelihood for point processes
type: Item
instance of: scholarly article
title: Filtered likelihood for point processes
zbMATH Open document ID: 1387.62097
author: Kay Giesecke
author: Gustavo Schwenkler
published in: Journal of Econometrics
publication date: 2018-04-18T00:00:00Z
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60G55
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6861166
zbMATH Keywords: point processes
zbMATH Keywords: filtering
zbMATH Keywords: efficient parametric inference
zbMATH Keywords: maximum likelihood
zbMATH Keywords: likelihood approximation
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.11.011
OpenAlex ID: W3124581022
cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
cites work: Closed-form likelihood expansions for multivariate diffusions
cites work: Mutual excitation in Eurozone sovereign CDS
cites work: Statistical models based on counting processes
cites work: Cox's regression model for counting processes: A large sample study
cites work: Q4269108
cites work: A weak convergence criterion for constructing changes of measure
cites work: Modelling security market events in continuous time: intensity based, multivariate point process models
cites work: Q3219607
cites work: Smooth densities for solutions to stochastic differential equations with jumps
cites work: A stochastic approximation type EM algorithm for the mixture problem
cites work: Monte Carlo EM Estimation for Time Series Models Involving Counts
cites work: Q5654899
cites work: An Introduction to the Theory of Point Processes
cites work: Q4139463
cites work: Consistency of the maximum likelihood estimator for general hidden Markov models
cites work: Efficient Monte Carlo simulation of security prices
cites work: Term Structures of Credit Spreads with Incomplete Accounting Information
cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions
cites work: Asymptotic behavior of statistical estimators and of optimal solutions of stochastic optimization problems
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Maximum likelihood estimation for continuous-time stochastic processes
cites work: Recurrent events and the exploding Cox model
cites work: The Asymptotic Efficiency of Simulation Estimators
cites work: Q3911791
cites work: Spectra of some self-exciting and mutually exciting point processes
cites work: The Relationship Between Wages and Income and the Timing and Spacing of Births: Evidence from Swedish Longitudinal Data
cites work: Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
cites work: Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (II): Model Selection
cites work: Q3920437
cites work: Non-Gaussian State-Space Modeling of Nonstationary Time Series
cites work: On the unnormalized solution of the filtering problem with counting process observations
cites work: Q4463158
cites work: The multi-state latent factor intensity model for credit rating transitions
cites work: Modeling frailty-correlated defaults using many macroeconomic covariates
cites work: Martingale problems for conditional distributions of Markov processes
cites work: Unique characterization of conditional distributions in nonlinear filtering
cites work: Econometric Methods for the Duration of Unemployment
cites work: On the preservation of local asymptotic normality under information loss
cites work: Consistency in a proportional hazards model incorporating a random effect
cites work: Asymptotic theory for the frailty model
cites work: Q4012692
cites work: The stochastic EM algorithm: Estimation and asymptotic results
cites work: The asymptotic behaviour of maximum likelihood estimators for stationary point processes
cites work: Asymptotic theory for the correlated gamma-frailty model
cites work: Q4435813
cites work: Maximum likelihood estimation for stationary point processes
cites work: The Malliavin calculus for SDE with jumps and the partially hypoelliptic problem
cites work: Asymptotic Statistics
cites work: A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
DOI: 10.1016/J.JECONOM.2017.11.011
description: scientific article; zbMATH DE number 6861166