Displaying 1 result from an estimated 1 matches for "chrisoffersen".
Did you mean:
christoffersen
2008 Apr 08
1
Weibull maximum likelihood estimates for censored data
Hello!
I have a matrix with data and a column indicating whether it is censored
or not. Is there a way to apply weibull and exponential maximum
likelihood estimation directly on the censored data, like in the paper:
Backtesting Value-at-Risk: A Duration-Based Approach, P Chrisoffersen
and D Pelletier (October 2003) page 8?
The problem is that if I type out the code as below the likelihood ratio
is greater than one.
> Interest
D C
1 17 1
2 10 0
3 15 0
4 2 0
5 42 0
6 53 0
7 193 0
8 11 0
9 2 0
10 8 0
11 12 1
library(stats4)
dur_i...