Analysis of extreme events [18]

Go to: Summary | Previous | Next   
Bullet points include: More sophisticated is to redefine maximum likelihood to refer to ordered observations:  E.g. by writing the log-likelihood as: We can then instead maximise For some suitable weights, wi, e.g. 1 if in tail, 0 otherwise Allowing us to leverage intrinsic appeal of maximum likelihood estimation

Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile