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249,668
Maximum likelihood from incomplete data via the EM algorithm
 JOURNAL OF THE ROYAL STATISTICAL SOCIETY, SERIES B
, 1977
"... A broadly applicable algorithm for computing maximum likelihood estimates from incomplete data is presented at various levels of generality. Theory showing the monotone behaviour of the likelihood and convergence of the algorithm is derived. Many examples are sketched, including missing value situat ..."
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Cited by 11807 (17 self)
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situations, applications to grouped, censored or truncated data, finite mixture models, variance component estimation, hyperparameter estimation, iteratively reweighted least squares and factor analysis.
A subordinated stochastic process model with finite variance for speculative prices
 Econometrica
, 1973
"... Thanks are due to Hendrik Houthakker and Christopher Sims, for both encouragement and advice in developing this paper. As usual, all remaining errors are my own. This research was supported by a Harvard Dissertation Fellowship, NSF grant 33708, and the ..."
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Cited by 547 (1 self)
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Thanks are due to Hendrik Houthakker and Christopher Sims, for both encouragement and advice in developing this paper. As usual, all remaining errors are my own. This research was supported by a Harvard Dissertation Fellowship, NSF grant 33708, and the
Universality for the distance in finite variance random graphs
, 2008
"... We generalize the asymptotic behavior of the graph distance between two uniformly chosen nodes in the configuration model to a wide class of random graphs. Among others, this class contains the Poissonian random graph, the expected degree random graph and the generalized random graph (including the ..."
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Cited by 15 (9 self)
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are such that the degrees of a node has uniformly bounded moments of order strictly larger than two, so that, in particular, the degrees have finite variance. We prove that the graph distance grows like log ν N, where the ν depends on the capacities. In addition, the random fluctuations around this asymptotic mean log ν N
Distances in random graphs with finite variance degrees
, 2008
"... In this paper we study a random graph with N nodes, where node j has degree Dj and {Dj} N j=1 are i.i.d. with P(Dj ≤ x) = F(x). We assume that 1 − F(x) ≤ cx −τ+1 for some τ> 3 and some constant c> 0. This graph model is a variant of the socalled configuration model, and includes heavy tail ..."
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Cited by 31 (13 self)
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degrees with finite variance. The minimal number of edges between two arbitrary connected nodes, also known as the graph distance or the hopcount, is investigated when N → ∞. We prove that the graph distance grows like log ν N, when the base of the logarithm equals ν = E[Dj(Dj − 1)]/E[Dj]> 1
Universality for the distance in finite variance random graphs
, 2008
"... We generalize the asymptotic behavior of the graph distance between two uniformly chosen nodes in the configuration model to a wide class of random graphs. Among others, this class contains the Poissonian random graph, the expected degree random graph and the generalized random graph (including the ..."
Abstract
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are such that the degrees of a node has uniformly bounded moments of order strictly larger than two, so that, in particular, the degrees have finite variance. We prove that the graph distance grows like log ν N, where the ν depends on the capacities. In addition, the random fluctuations around this asymptotic mean log ν N
Do Stock Returns Follow a Finite Variance Distribution?
, 2000
"... In this paper we propose a test statistic to discriminate between models with finite variance and models with infinite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and finite sample properties of the test statistic are ..."
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In this paper we propose a test statistic to discriminate between models with finite variance and models with infinite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and finite sample properties of the test statistic
Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper
, 1997
"... We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed ..."
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Cited by 499 (13 self)
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We examine properties of residualbased tests for the null of no cointegration for dynamic panels in which both the shortrun dynamics and the longrun slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests+ We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period+ 1.
New results in linear filtering and prediction theory
 Trans. ASME, Ser. D, J. Basic Eng
, 1961
"... A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this "variance equation " completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or nonstationary sta ..."
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Cited by 585 (0 self)
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A nonlinear differential equation of the Riccati type is derived for the covariance matrix of the optimal filtering error. The solution of this "variance equation " completely specifies the optimal filter for either finite or infinite smoothing intervals and stationary or nonstationary
BCCBJBATllON TIME FLUCTUATIONS OF POISSON AND EQUILIBRIUM FINITE VARIANCE BRANCHING SYSTEMS
"... Abstract. Functional limit theorems are presented for the rescaled occupation time fluctuation process of a critical finite variance branching particle system in Rd with symmetric astable motion starting off from either a standard Poisson random field or from the equilibrium distribution for int ..."
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Abstract. Functional limit theorems are presented for the rescaled occupation time fluctuation process of a critical finite variance branching particle system in Rd with symmetric astable motion starting off from either a standard Poisson random field or from the equilibrium distribution
Finite state Markovchain approximations to univariate and vector autoregressions
 Economics Letters
, 1986
"... The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1. ..."
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Cited by 472 (0 self)
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The paper develops a procedure for finding a discretevalued Markov chain whose sample paths approximate well those of a vector autoregression. The procedure has applications in those areas of economics, finance, and econometrics where approximate solutions to integral equations are required. 1.
Results 1  10
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249,668