메뉴 건너뛰기




Volumn 66, Issue 2, 2004, Pages 447-462

Estimating functions in indirect inference

Author keywords

Asymptotic variance; Estimating functions; G G 1 queue; Implicit statistical models; Indirect inference; Simulated likelihood; Transactional data

Indexed keywords


EID: 2442478330     PISSN: 13697412     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1369-7412.2003.05341.x     Document Type: Article
Times cited : (61)

References (29)
  • 1
    • 0000013152 scopus 로고
    • On the statistical analysis of dirty pictures
    • Besag, J. (1986) On the statistical analysis of dirty pictures (with discussion). J. R. Statist. Soc. B, 48, 259-302.
    • (1986) J. R. Statist. Soc. B , vol.48 , pp. 259-302
    • Besag, J.1
  • 2
    • 0002277466 scopus 로고    scopus 로고
    • Statistical analysis of queueing systems
    • (ed. J. H. Dshalalow), ch 13. Boca Raton: CRC Press
    • Bhat, U. N., Miller, G. K. and Rao, S. S. (1997) Statistical analysis of queueing systems. In Frontiers in Queueing (ed. J. H. Dshalalow), ch. 13, pp. 351-394. Boca Raton: CRC Press.
    • (1997) Frontiers in Queueing , pp. 351-394
    • Bhat, U.N.1    Miller, G.K.2    Rao, S.S.3
  • 3
    • 0035529545 scopus 로고    scopus 로고
    • Simplified estimating functions for diffusion models with a high-dimensional parameter
    • Bibby, B. M. and Sørensen, M. (2001) Simplified estimating functions for diffusion models with a high-dimensional parameter. Scand. J. Statist., 28, 99-112.
    • (2001) Scand. J. Statist. , vol.28 , pp. 99-112
    • Bibby, B.M.1    Sørensen, M.2
  • 5
    • 0002954117 scopus 로고    scopus 로고
    • Control variates for variance reduction in indirect inference: Interest rate models in continuous time
    • Calzolari, G., Di Iorio, F. and Fiorentini, G. (1998) Control variates for variance reduction in indirect inference: interest rate models in continuous time. Econometr. J., 1, 100-112.
    • (1998) Econometr. J. , vol.1 , pp. 100-112
    • Calzolari, G.1    Di Iorio, F.2    Fiorentini, G.3
  • 6
    • 2442470322 scopus 로고    scopus 로고
    • Indirect estimation and variance reduction using control variates
    • Calzolari, G., Di Iorio, F. and Fiorentini, G. (2001) Indirect estimation and variance reduction using control variates. Metron, 59, 39-53.
    • (2001) Metron , vol.59 , pp. 39-53
    • Calzolari, G.1    Di Iorio, F.2    Fiorentini, G.3
  • 7
    • 0031288216 scopus 로고    scopus 로고
    • Indirect inference for fractional time series models
    • Corduas, M. (1997) Indirect inference for fractional time series models. J. Statist. Comput. Simuln, 59, 221-232.
    • (1997) J. Statist. Comput. Simuln. , vol.59 , pp. 221-232
    • Corduas, M.1
  • 8
    • 0001197731 scopus 로고
    • Monte Carlo methods of inference for implicit statistical models
    • Diggle, P. J. and Gratton, R. J. (1984) Monte Carlo methods of inference for implicit statistical models (with discussion). J. R. Statist. Soc. B, 46, 193-227.
    • (1984) J. R. Statist. Soc. B , vol.46 , pp. 193-227
    • Diggle, P.J.1    Gratton, R.J.2
  • 9
    • 0000593389 scopus 로고
    • Simulated moments estimation of Markov models of asset prices
    • Duffie, D. and Singleton, K. J. (1993) Simulated moments estimation of Markov models of asset prices. Econometrica, 61, 929-952.
    • (1993) Econometrica , vol.61 , pp. 929-952
    • Duffie, D.1    Singleton, K.J.2
  • 18
    • 21844487364 scopus 로고
    • Improved Monte Carlo inference for models with additive error
    • Hazelton, M. (1995) Improved Monte Carlo inference for models with additive error. Statist. Comput., 5, 343-350.
    • (1995) Statist. Comput. , vol.5 , pp. 343-350
    • Hazelton, M.1
  • 19
    • 2442579961 scopus 로고    scopus 로고
    • Estimating functions in indirect inference
    • Norwegian Computing Center, Oslo
    • Heggland, K. and Frigessi, A. (2003) Estimating functions in indirect inference. Research Report 933. Norwegian Computing Center, Oslo.
    • (2003) Research Report 933
    • Heggland, K.1    Frigessi, A.2
  • 20
    • 0033326521 scopus 로고    scopus 로고
    • Inferring balking behavior from transactional data
    • Jones, L. K. (1999) Inferring balking behavior from transactional data. Ops Res., 47, 778-784.
    • (1999) Ops Res. , vol.47 , pp. 778-784
    • Jones, L.K.1
  • 21
    • 0000660534 scopus 로고
    • Asymptotically unbiased estimation in generalized linear models with random effects
    • Kuk, A. Y. C. (1995) Asymptotically unbiased estimation in generalized linear models with random effects. J. R. Statist. Soc. B, 57, 395-407.
    • (1995) J. R. Statist. Soc. B , vol.57 , pp. 395-407
    • Kuk, A.Y.C.1
  • 22
    • 0032682337 scopus 로고    scopus 로고
    • Derivation of the n-step interdeparture time distribution in gi/g/1 queueing systems
    • Luh, H. (1999) Derivation of the n-step interdeparture time distribution in gi/g/1 queueing systems. Eur. J. Oper. Res., 118, 194-212.
    • (1999) Eur. J. Oper. Res. , vol.118 , pp. 194-212
    • Luh, H.1
  • 23
    • 0001203970 scopus 로고    scopus 로고
    • Approximate bias correction in econometrics
    • MacKinnon, J. G. and Smith, A. A. (1998) Approximate bias correction in econometrics. J. Econometr., 85, 205-230.
    • (1998) J. Econometr. , vol.85 , pp. 205-230
    • MacKinnon, J.G.1    Smith, A.A.2
  • 24
    • 0000883977 scopus 로고
    • A method of simulated moments for estimation of discrete response models without numerical integration
    • McFadden, D. (1989) A method of simulated moments for estimation of discrete response models without numerical integration. Econometrica, 57, 995-1026.
    • (1989) Econometrica , vol.57 , pp. 995-1026
    • McFadden, D.1
  • 25
    • 0033611444 scopus 로고    scopus 로고
    • Estimating binary multilevel models through indirect inference
    • Mealli, F. and Rampichini, C. (1999) Estimating binary multilevel models through indirect inference. Comput. Statist. Data Anal., 29, 313-324.
    • (1999) Comput. Statist. Data Anal. , vol.29 , pp. 313-324
    • Mealli, F.1    Rampichini, C.2
  • 26
    • 0001331135 scopus 로고
    • Simulation and the asymptotics of optimization estimators
    • Pakes, A. and Pollard, D. (1989) Simulation and the asymptotics of optimization estimators. Econometrica, 57, 1027-1057.
    • (1989) Econometrica , vol.57 , pp. 1027-1057
    • Pakes, A.1    Pollard, D.2
  • 27
    • 0034403046 scopus 로고    scopus 로고
    • Statistical inference for random-variance option pricing
    • Pastorello, S., Renault, E. and Touzi, N. (2000) Statistical inference for random-variance option pricing. J. Bus. Econ. Statist., 18, 358-367.
    • (2000) J. Bus. Econ. Statist. , vol.18 , pp. 358-367
    • Pastorello, S.1    Renault, E.2    Touzi, N.3
  • 28
    • 0032887427 scopus 로고    scopus 로고
    • Simulated likelihood methods for complex double-platform line transect surveys
    • Schweder, T., Skaug, H. J., Langaas, M. and Dimakos, X. K. (1999) Simulated likelihood methods for complex double-platform line transect surveys. Biometrics, 55, 678-687.
    • (1999) Biometrics , vol.55 , pp. 678-687
    • Schweder, T.1    Skaug, H.J.2    Langaas, M.3    Dimakos, X.K.4
  • 29
    • 0035285792 scopus 로고    scopus 로고
    • Discretely observed diffusions: Approximation of the continuous-time score function
    • Sørensen, H. (2001) Discretely observed diffusions: approximation of the continuous-time score function. Scand. J. Statist., 28, 113-122.
    • (2001) Scand. J. Statist. , vol.28 , pp. 113-122
    • Sørensen, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.