Severity parameters play a crucial role in the operational risk (OpRisk) capital estimates for Advanced Measurement Approach banks. When relying on maximum likelihood estimates (MLEs), nonrobustness ...

The estimation of the parameters of a mixture of Gaussian densities is considered, within the framework of maximum likelihood. Due to unboundedness of the likelihood function, the maximum likelihood ...

A second example, taken from Fisher (1958), exhibits a similar property. This example is both simpler and less artificial than the first, and we have found it very useful for teaching purposes. The ...

When relying on maximum likelihood estimates (MLEs), nonrobustness to small deviations from the standard regularity conditions and to the inclusion of single data points challenges the stability of ...

Here we aim to convince the scientific community to use the maximum likelihood estimator (MLE) for Poisson deviates when fitting event-counting histograms rather than the typically used least ...