For some of my current projects, I'm probably going to need to eventually estimate some models using Metropolis-Hastings sampling. I understand the basic concepts, and the software I use (R) has ...

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, ...

In this article the problem of obtaining the maximum likelihood estimates of the parameters from a special type of linear combination of discrete probability functions is discussed. It is shown that ...

Empirical likelihood methods have emerged as a robust, non‐parametric framework for statistical inference that skilfully bypasses the need for strong parametric assumptions. By constructing likelihood ...

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 ...