Risk

Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International ...

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 ...
Simon Fraser University

Example 26.3: Maximum-Likelihood Factor Analysis

The three-factor analysis displayed in Output 26.3.3 generates this message: WARNING: Too many factors for a unique solution. The number of parameters in the model exceeds the number of elements in ...
Simon Fraser University

Example 8.13: Parameter Estimation for a Regression Model with ARMA Errors

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 ...
Nature

Likelihood calculations to evaluate experimental designs to estimate genetic variances

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 ...