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- Chan, Ngai Hang, et al. Show all 2 Author
- Computational statistics & data analysis 2019 v.138 pp. 143-154
- Markov chain; Monte Carlo method; algorithms; automation; models
- ... This paper studies the maximum likelihood estimation of nonlinear state space models. Particle Markov chain Monte Carlo method is introduced to implement the Monte Carlo expectation maximization algorithm for more accurate and robust estimation. Under this framework, an automated sample size selection criterion is constructed via renewal theory. This criterion would increase the sample size when t ...
- Chan, Ngai Hang, et al. Show all 3 Authors
- Economics letters 2015 v.126 pp. 43-46
- Monte Carlo method; empirical research; finance; mathematical theory; models; normal distribution; time series analysis
- ... By allowing deviations from equilibrium to follow a fractionally integrated process, the notion of fractional cointegration analysis encompasses a wide range of mean-reverting behaviors. For fractional cointegrations, asymptotic theories have been extensively studied, and numerous empirical studies have been conducted in finance and economics. But as far as testing for fractional cointegration is ...