The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the ...

Bayesian estimation and maximum likelihood methods represent two central paradigms in modern statistical inference. Bayesian estimation incorporates prior beliefs through Bayes’ theorem, updating ...

The focus of this article is on the nature of the likelihood associated with N-mixture models for repeated count data. It is shown that the infinite sum embedded in the likelihood associated with the ...

We propose a new approach to simulate the likelihood of the sequential search model. By allowing search costs to be heterogeneous across consumers and products, we directly compute the joint ...