In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...

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 ...

This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s. continuous estimators of the ...

Identify characteristics of “good” estimators and be able to compare competing estimators. Construct sound estimators using the techniques of maximum likelihood and method of moments estimation.

Nonlinear estimation algorithms are required for obtaining estimates of the parameters of a regression model with innovations having an ARMA structure. The three estimation methods employed by the ...

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 ...