Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...
You can impose restrictions on the parameter estimates with RESTRICT and SRESTRICT statements. The RESTRICT statement imposes linear restrictions on parameters in the equation specified by the ...
This issue of The Journal of Risk contains papers that address parameter estimation uncertainty in two contexts: first in credit-risk modeling, and second with respect to portfolio optimization. It ...
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