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 ...

A particular type of one-parameter exponential family of stochastic processes is studied. Many widely used models for stochastic processes are of this type. In particular, sampling rules for which 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 ...

Mixed model analyses via restricted maximum likelihood, fitting the so-called animal model, have become standard methodology for the estimation of genetic variances. Models involving multiple genetic ...

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 ...

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 ...

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