There is hardly any literature on modelling nonlinear dynamic relations involving nonnormal time series data. This is a serious lacuna because nonnormal data are far more abundant than normal ones, ...

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

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 ...

Although epistasis is an important phenomenon in the genetics and evolution of complex traits, epistatic effects are hard to estimate. The main problem is due to the overparameterized epistatic ...

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 ...

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 ...