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Implementing likelihood-based inference for fat-tailed distributions

delete2008-03-01
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M
Marie Rekkas *
A
Augustine Wong
DOI:10.1016/j.frl.2007.12.004delete
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摘要

摘要

En 中文
The theoretical advancements in higher-order likelihood-based inference methods have been tremendous over the past two decades. The application of these methods in the applied literature however has been far from widespread. A critical barrier to adoption has likely been the computational difficulties associated with the implementation of these methods. This paper provides the applied researcher with a systematic exposition of the calculations and computer code required to implement the higher-order conditional inference methodology of Fraser and Reid [1995. Utilitas Mathematica 47, 33-53] for problems involving heavy- or fat-tailed distributions. (c) 2007 Elsevier Inc. All rights reserved.
Keyword:
Third-order inference
p-Values
Likelihood
Fat-tailed distributions
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期刊

Finance Research Letters 封面图
Finance Research Letters
IF:
6.9
论文数:
9.2K
被引数:
2.8W

机构

S
Simon Fraser University
学者数:
1.0W
论文数: 1.0W
被引数: 1.4W
Y
york university - canada
学者数:
8.3K
论文数: 9.0K
被引数: 10
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