JSTOR Daily

On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes

This is a preview. Log in through your library . Abstract A review is given of recent work on maximum likelihood theory for continuously observed processes of the diffusion type. A brief survey of ...
JSTOR Daily

Maximum Likelihood Estimation from Linear Combinations of Discrete Probability Functions

In this article the problem of obtaining the maximum likelihood estimates of the parameters from a special type of linear combination of discrete probability functions is discussed. It is shown that ...
Simon Fraser University

Example 5.6: Maximum Likelihood Weibull Estimation

The following data are taken from Lawless (1982, p.193) and represent the number of days it took rats painted with a carcinogen to develop carcinoma. The last 2 observations are censored data from a ...
Risk

Estimating operational risk capital: the challenges of truncation, the hazards of maximum likelihood estimation, and the promise of robust statistics

In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a nontrivial challenge for many reasons. Maximum ...
Risk

Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International ...

In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...
Simon Fraser University

Example 11.5: Profile-Likelihood-Based Confidence Intervals

This example calculates confidence intervals based on the profile likelihood for the parameters estimated in the previous example. The following introduction on profile-likelihood methods is based on ...