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Markov models for digraph panel data: Monte Carlo-based derivative estimation

Abstract:

A parametric, continuous-time Markov model for digraph panel data is considered. The parameter is estimated by the method of moments. A convenient method for estimating the variance-covariance matrix of the moment estimator relies on the delta method, requiring the Jacobian matrix-that is, the matrix of partial derivatives-of the estimating function. The Jacobian matrix was estimated hitherto by Monte Carlo methods based on finite differences. Three new Monte Carlo estimators of the Jacobian ...

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Publication status:
Published

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Publisher copy:
10.1016/j.csda.2006.07.014

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
Journal:
COMPUTATIONAL STATISTICS and DATA ANALYSIS More from this journal
Volume:
51
Issue:
9
Pages:
4465-4483
Publication date:
2007-05-15
DOI:
ISSN:
0167-9473
Language:
English
Keywords:
Pubs id:
pubs:97762
UUID:
uuid:1c0c7b07-6dd8-4b7f-8a09-a1e0ac4698b9
Local pid:
pubs:97762
Source identifiers:
97762
Deposit date:
2012-12-19

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