Nature

Bayesian Estimation and Maximum Likelihood Methods

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

Type 3 Analysis

A Type 3 analysis is similar to the Type III sums of squares used in PROC GLM, except that likelihood ratios are used instead of sums of squares. First, a Type III estimable function is defined for an ...
Risk

Operational risk models and asymptotic normality of maximum likelihood estimation

Operational risk models commonly employ maximum likelihood estimation (MLE) to fit loss data to heavy-tailed distributions. Yet several desirable properties of MLE (eg, asymptotic normality) are ...
Risk

Estimating operational risk capital: the challenges of truncation, the hazards of maximum likelihood estimation, and the promise of robust statistics

In operational risk measurement, the estimation of severity distribution parameters is the main driver of capital estimates, yet this remains a nontrivial challenge for many reasons. Maximum ...