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Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances
spreg spatial-autoregressive models
2015/9/24
We describe the spreg command, which implements a maximum
likelihood estimator and a generalized spatial two-stage least-squares estimator
for the parameters of a linear cross-sectional spatial-auto...
Likelihood Ratio Gradient Estimation for Stochastic Recursions
Likelihood Ratio Gradient Estimation Stochastic Recursions
2015/7/8
In this paper, we develop mathematical machinery for verifying that a broad class of general state space Markov chains reacts smoothly to certain types of perturbations in the underlying transition st...
How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
Cross-entropy Rare-event probability estimation Screening Simulation
2015/7/6
In this work we show how to resolve, at least partially, the curse of dimensionality of likelihood ratios (LRs) while using importance sampling (IS) to estimate the performance of high-dimensional Mon...