Estimation of Transition Probabilities Using Median Absolute Deviations

C.S. Kim and Glenn Schaible ()

Journal of Agricultural Economics Research, 1988, vol. 40, issue 4, 8

Abstract: The probability-constrained minimum absolute deviations (MAD) estimator appears to be superior to the probability-constrained quadratic programming estimator in estimating transition probabilities with limited aggregate time series data Futhermore, one can reduce the number of columns in the probability-constrained MAD simplex tableau by adopting the median property

Keywords: Financial Economics; Research Methods/Statistical Methods (search for similar items in EconPapers)
Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uersja:137484

DOI: 10.22004/ag.econ.137484

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