Likelihood Methods for Controlled Calibration

Ruggero Bellio

Scandinavian Journal of Statistics, 2003, vol. 30, issue 2, 339-353

Abstract: Abstract. This paper presents the use of likelihood‐based methods for controlled calibration. Recent results on higher‐order asymptotics are exploited to obtain confidence regions for the output of the calibration process. A general likelihood‐based approach is presented, and several types of calibration problems are tackled within this framework. The methods provide simple and accurate solutions which may have some potential usefulness for applications. The results are illustrated with reference to widely used models.

Date: 2003
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https://doi.org/10.1111/1467-9469.00334

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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:30:y:2003:i:2:p:339-353

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