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## Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods

*Christian Gouriéroux and Alain Monfort*

### in Simulation-based Econometric Methods

- Published in print:
- 1997
- Published Online:
- November 2003
- ISBN:
- 9780198774754
- eISBN:
- 9780191596339
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/0198774753.003.0003
- Subject:
- Economics and Finance, Econometrics

The simulated analogues to Maximum Likelihood, Pseudo‐Maximum Likelihood, and Non‐Linear Least Squares Methods are presented. Their asymptotic properties and bias corrections are given under various ... More

## Time Series Analysis by State Space Methods: Second Edition

*James Durbin and Siem Jan Koopman*

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.001.0001
- Subject:
- Mathematics, Probability / Statistics

This book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as ... More

## Bayesian estimation of parameters

*J. Durbin and S.J. Koopman*

### in Time Series Analysis by State Space Methods: Second Edition

- Published in print:
- 2012
- Published Online:
- December 2013
- ISBN:
- 9780199641178
- eISBN:
- 9780191774881
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199641178.003.0013
- Subject:
- Mathematics, Probability / Statistics

This chapter discusses the use of importance sampling for the estimation of parameters in Bayesian analysis for models of Part I and Part II. It first develops the analysis of the linear Gaussian ... More

## Bayesian theory

*Ziheng Yang*

### in Molecular Evolution: A Statistical Approach

- Published in print:
- 2014
- Published Online:
- August 2014
- ISBN:
- 9780199602605
- eISBN:
- 9780191782251
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199602605.003.0006
- Subject:
- Biology, Biomathematics / Statistics and Data Analysis / Complexity Studies, Evolutionary Biology / Genetics

This chapter summarizes the Frequentist–Bayesian controversy in statistics, and introduces the basic theory of Bayesian statistical inference, such as the prior, posterior, and Bayes’ theorem. ... More

## Finite Mixture Models

*Russell Cheng*

### in Non-Standard Parametric Statistical Inference

- Published in print:
- 2017
- Published Online:
- September 2017
- ISBN:
- 9780198505044
- eISBN:
- 9780191746390
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198505044.003.0017
- Subject:
- Mathematics, Probability / Statistics

Fitting a finite mixture model when the number of components, k, is unknown can be carried out using the maximum likelihood (ML) method though it is non-standard. Two well-known Bayesian Markov chain ... More

## Rényi Divergence and Monte Carlo Integration

*John Geweke and Garland Durham*

### in Advances in Info-Metrics: Information and Information Processing across Disciplines

- Published in print:
- 2020
- Published Online:
- December 2020
- ISBN:
- 9780190636685
- eISBN:
- 9780190636722
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780190636685.003.0015
- Subject:
- Economics and Finance, Microeconomics

Rényi divergence is a natural way to measure the rate of information flow in contexts like Bayesian updating. This chapter shows how Monte Carlo integration can be used to measure Rényi divergence ... More

## Monte Carlo methods

*Michael P. Allen and Dominic J. Tildesley*

### in Computer Simulation of Liquids: Second Edition

- Published in print:
- 2017
- Published Online:
- November 2017
- ISBN:
- 9780198803195
- eISBN:
- 9780191841439
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198803195.003.0004
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics, Soft Matter / Biological Physics

The estimation of integrals by Monte Carlo sampling is introduced through a simple example. The chapter then explains importance sampling, and the use of the Metropolis and Barker forms of the ... More

## Monte Carlo methods

*Joseph F. Boudreau and Eric S. Swanson*

### in Applied Computational Physics

- Published in print:
- 2017
- Published Online:
- February 2018
- ISBN:
- 9780198708636
- eISBN:
- 9780191858598
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198708636.003.0007
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

Monte Carlo methods are those designed to obtain numerical answers with the use of random numbers . This chapter discusses random engines, which provide a pseudo-random pattern of bits, and their use ... More

## Ensembles with hard constraints

*A.C.C. Coolen, A. Annibale, and E.S. Roberts*

### in Generating Random Networks and Graphs

- Published in print:
- 2017
- Published Online:
- May 2017
- ISBN:
- 9780198709893
- eISBN:
- 9780191780172
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/oso/9780198709893.003.0005
- Subject:
- Physics, Theoretical, Computational, and Statistical Physics

This chapter introduces random graph ensembles involving hard constraints such as setting a fixed total number of links or fixed degree sequence, including properties of the partition function. It ... More

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