JSTOR Daily

Asymptotics of the Maximum Likelihood Estimator for General Hidden Markov Models

In this paper, we consider the consistency and asymptotic normality of the maximum likelihood estimator for a possibly non-stationary hidden Markov model where the hidden state space is a separable ...
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 ...
JSTOR Daily

Bias-Corrected Maximum Likelihood Estimator of the Negative Binomial Dispersion Parameter

We derive a first-order bias-corrected maximum likelihood estimator for the negative binomial dispersion parameter. This estimator is compared, in terms of bias and efficiency, with the maximum ...