Moody’s KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating the unobserved asset value and the unknown parameters required for implementing such a model. This estimation method has found its way to the recent academic literature, but it has not yet been formally analyzed to assess its statistical pro...

This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where ...

The behavior of maximum likelihood estimates (MLE’s) and the likelihood ratio statistic in a family of problems involving pointwise nonparametric estimation of a monotone function is studied. This class of problems differs radically from the usual parametric or semiparametric situations in that the MLE of the monotone function at a point converges to the truth at rate n (slower than the usual √...

Clock synchronization plays a crucial role in Wireless Sensor Networks (WSNs). Assuming that there is no clock skew between sensor nodes, the Maximum Likelihood Estimate (MLE) of clock offset was derived by [1] for clock synchronization protocols assuming exponential random delays and a two-way message exchange mechanism as in TPSN (Timing-sync Protocol for Sensor Networks [2]) or NTP (Network ...

Gibbs random fields with multiple pairwise pixel interactionshave good potentialities in modeling natural image texturesbecause allow for learning both the structure and strengths ofpixel interactions from a given training sample. The learningscheme is based on the maximum likelihood estimate (MLE) ofGibbs potentials that specify the interaction strenghts. Thisscheme is amplified here by deduci...

A simple but novel and applicable approach is proposed to solve the problem of smoothing effect of ordinary kriging estimate which is widely used in mining and earth sciences. It is based on transformation equation in which Z scores are derived from ordinary kriging estimates and then rescaled by the standard deviation of sample data and the sample mean is added to the result. It bears the grea...

A method is provided for determining necessary conditions on sample size or signal to noise ratio (SNR) to obtain accurate parameter estimates from remote sensing measurements in fluctuating environments. These conditions are derived by expanding the bias and covariance of maximum likelihood estimates (MLEs) in inverse orders of sample size or SNR, where the first-order covariance term is the C...

Electrophoretic analysis of Asian even brOOd-year pink salmon stocks has shown regional heterogeneity (Noll et al. in review). Hypothetical mixed fisheries were created using data from 24 variable loci from Noll et al. in review. The mixture was analyzed to test the accuracy and precision of this baseline data for potential use in mixed fishery analyses. Thirteen stocks were separated into four...

This paper examines necessary and sufficient conditions for the existence of Maximum Likelihood Estimates (MLE) and the propriety of the posterior under a bounded improper prior density for a wide class of discrete (or multinomial) choice models. The choice models are based on the principle of utility maximization. Our results cover a wide class of latent variable distributions defining the uti...

Using hyperbolic form convolution with doubly isometry-invariant kernels, the explicit expression of the inverse of the de Rham laplacian ∆ acting on m-forms in the Poincaré space H is found. Also, by means of some estimates for hyperbolic singular integrals, L-estimates for the Riesz transforms ∇i∆−1, i ≤ 2, in a range of p depending on m,n are obtained. Finally, using these, it is shown that ...