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Implementing likelihood-based inference for fat-tailed distributions
DOI:10.1016/j.frl.2007.12.004.png)
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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