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Estimation and Calibration

Status Draft briefPart Data and Empirical Work

Calibration chooses model parameters from observations; estimation also quantifies uncertainty. A close in-sample fit does not establish identification or predictive value.

Central questions

  • Which likelihood, moments, or loss function connect data to parameters?
  • Are parameters identifiable from available observations?
  • How stable are estimates across time, instruments, and sampling choices?

Planned model

Fit a simple arrival or impact model to generated data while varying sample size, censoring, regime shifts, and misspecification.