Estimation of Transition Probabilities Using Median Absolute Deviations Report as inadecuate




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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: Minimum absolute deviations ; transition probabilities ; median absolute deviations ; quadratic programming

Subject(s): Financial Economics

Research Methods/ Statistical Methods

Issue Date: 1988

Publication Type: Journal Article

PURL Identifier: http://purl.umn.edu/137484 Published in: Journal of Agricultural Economics Research, Volume 40, Number 4

Total Pages: 8

Record appears in: United States Department of Agriculture (USDA) > Economic Research Service > Journal of Agricultural Economics Research





Author: Kim, C.S. ; Schaible, Glenn D.

Source: http://ageconsearch.umn.edu/record/137484?ln=en



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