Exact distribution theory for the maximum likelihood estimators of local trend models

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" Exact distribution theory for the maximum likelihood estimators of local trend models "
Shephard, Neil

Document Type	:	Latin Dissertation
Record Number	:	1098468
Doc. No	:	TLets543140
Main Entry	:	Shephard, Neil
Title & Author	:	Exact distribution theory for the maximum likelihood estimators of local trend models\ Shephard, Neil
College	:	London School of Economics and Political Science (LSE)
Date	:	1989
student score	:	1989
Degree	:	Ph.D.
Abstract	:	This thesis has two distinct parts. The second and third chapters concern the theory and practical implementation of computing the value of the (possibly multivariate) distribution function from the known characteristic function. The remaining four chapters consist of a study of the distributional behaviour of the maximum likelihood estimator of some local trend models. The motivation of the work is the paucity of our knowledge of the behaviour of the maximum likelihood estimator of local trend models. These types of models are being increasingly used in the social sciences, but little is actually known about their theoretical behaviour, especially when we have only small sample sizes.
Subject	:	QA Mathematics
Added Entry	:	London School of Economics and Political Science (LSE)