Exact distribution theory for the maximum likelihood estimators of local trend models
This thesis has two distinct parts. The second and third chapters concern the theory and practical implementation of computing the value of the (possibly multivariate) distribution function from the known characteristic function. The remaining four chapters consist of a study of the distributional b...
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London School of Economics and Political Science (University of London)
1989
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ndltd-bl.uk-oai-ethos.bl.uk-5431402015-03-20T04:12:12ZExact distribution theory for the maximum likelihood estimators of local trend modelsShephard, Neil1989This thesis has two distinct parts. The second and third chapters concern the theory and practical implementation of computing the value of the (possibly multivariate) distribution function from the known characteristic function. The remaining four chapters consist of a study of the distributional behaviour of the maximum likelihood estimator of some local trend models. The motivation of the work is the paucity of our knowledge of the behaviour of the maximum likelihood estimator of local trend models. These types of models are being increasingly used in the social sciences, but little is actually known about their theoretical behaviour, especially when we have only small sample sizes.519QA MathematicsLondon School of Economics and Political Science (University of London)http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543140http://etheses.lse.ac.uk/121/Electronic Thesis or Dissertation |
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NDLTD |
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NDLTD |
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519 QA Mathematics |
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519 QA Mathematics Shephard, Neil Exact distribution theory for the maximum likelihood estimators of local trend models |
| description |
This thesis has two distinct parts. The second and third chapters concern the theory and practical implementation of computing the value of the (possibly multivariate) distribution function from the known characteristic function. The remaining four chapters consist of a study of the distributional behaviour of the maximum likelihood estimator of some local trend models. The motivation of the work is the paucity of our knowledge of the behaviour of the maximum likelihood estimator of local trend models. These types of models are being increasingly used in the social sciences, but little is actually known about their theoretical behaviour, especially when we have only small sample sizes. |
| author |
Shephard, Neil |
| author_facet |
Shephard, Neil |
| author_sort |
Shephard, Neil |
| title |
Exact distribution theory for the maximum likelihood estimators of local trend models |
| title_short |
Exact distribution theory for the maximum likelihood estimators of local trend models |
| title_full |
Exact distribution theory for the maximum likelihood estimators of local trend models |
| title_fullStr |
Exact distribution theory for the maximum likelihood estimators of local trend models |
| title_full_unstemmed |
Exact distribution theory for the maximum likelihood estimators of local trend models |
| title_sort |
exact distribution theory for the maximum likelihood estimators of local trend models |
| publisher |
London School of Economics and Political Science (University of London) |
| publishDate |
1989 |
| url |
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543140 |
| work_keys_str_mv |
AT shephardneil exactdistributiontheoryforthemaximumlikelihoodestimatorsoflocaltrendmodels |
| _version_ |
1716784623045836800 |