Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models.
Jan F. KivietGarry D. A. PhillipsPublished in: Comput. Stat. Data Anal. (2014)
Keyphrases
- regression model
- maximum likelihood
- generalized linear models
- maximum likelihood estimator
- parameter estimation
- unbiased estimator
- variance estimator
- gaussian process
- regression methods
- variance reduction
- regression analysis
- model selection
- linear regression model
- prediction model
- multivariate regression
- expectation maximization
- log likelihood function
- explanatory variables
- linear model
- von mises
- generalized linear
- target variable
- regression trees
- independent variables
- survival analysis
- machine learning
- regression method