Focal Interest
Focal Interest

Parametric model

  1. Dynamic likelihood estimation can improve hazard rate fitting
    Semiparametric method for hazard rate estimation combining parametric efficiency with nonparametric flexibility through dynamic local likelihood smoothing
  2. Spline-based score-driven models allow flexible time-varying parameters
    Score-driven time-varying parameter model using spline-based densities without parametric assumptions, with applications to inflation and volatility filtering.