JSTOR Daily

Asymptotic Properties of the Maximum-Likelihood Estimator for a Class of Birth-and-Death Processes Admitting a Unique Stationary Distribution

The Canadian Journal of Statistics / La Revue Canadienne de Statistique, Vol. 11, No. 2 (Jun., 1983), pp. 109-118 (10 pages) The asymptotic properties of the maximum-likelihood estimator of the ...
JSTOR Daily

Estimating the Variance of the Maximum Pseudo-Likelihood Estimator

Lecture Notes-Monograph Series, Vol. 37, Selected Proceedings of the Symposium on Inference for Stochastic Processes (2001), pp. 281-295 (15 pages) The use of the pseudo-likelihood estimator for Gibbs ...
Risk

A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates

Severity parameters play a crucial role in the operational risk (OpRisk) capital estimates for Advanced Measurement Approach banks. When relying on maximum likelihood estimates (MLEs), nonrobustness ...
Risk

A weighted likelihood estimator for operational risk data: improving the accuracy of capital estimates by robustifying maximum likelihood estimates

Severity parameters play a crucial role in the operational risk (OpRisk) capital estimates for Advanced Measurement Approach banks. When relying on maximum likelihood estimates (MLEs), nonrobustness ...