Browsing by Author "Pedeli, Xanthi"
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Article
Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation
Pedeli, Xanthi; Davison, A. C.; Fokianos, Konstantinos (2015)Saddlepoint techniques have been used successfully in many applications, owing to the high accuracy with which they can approximate intractable densities and tail probabilities. This article concerns their use for the ...
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Article
On composite likelihood estimation of a multivariate INAR(1) model
Pedeli, Xanthi; Karlis, Dimitris (2012)
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Article
Two Cholesky-log-GARCH models for multivariate volatilities
Pedeli, Xanthi; Fokianos, Konstantinos; Pourahmadi, M. (2015)Parsimonious estimation of high-dimensional covariance matrices is of fundamental importance in multivariate statistics. Typical examples occur in finance, where the instantaneous dependence among several asset returns ...
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Article
Two Cholesky-log-GARCH models for multivariate volatilities
Pedeli, Xanthi; Fokianos, Konstantinos; Pourahmadi, Mohsen