A random sample of curves can be usually thought of as noisy realisations of a compound stochastic process X(t) = Z{W(t)}, where Z(t) produces random amplitude variation and W(t) produces random ...

Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...

The challenge of using small sample sizes for operational risk capital models fitted via maximum likelihood estimation is well recognized, yet the literature generally provides warning examples rather ...

Bayesian estimation and maximum likelihood methods represent two central paradigms in modern statistical inference. Bayesian estimation incorporates prior beliefs through Bayes’ theorem, updating ...

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 ...

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 ...