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 ...

There are three SAS procedures that enable you to do maximum likelihood estimation of parameters in an arbitrary model with a likelihood function that you define: PROC MODEL, PROC NLP, and PROC IML.

Journal of Applied Econometrics, Vol. 17, No. 5, Special Issue: Modelling and Forecasting Financial Volatility (Sep. - Oct., 2002), pp. 509-534 (26 pages) Theoretical and practical interest in ...

This is a preview. Log in through your library . Abstract This paper rigorously establishes that the existence of the maximum likelihood estimate (MLE) in high-dimensional logistic regression models ...