For a sample X1,X2,…XNof independent identically distributed copies of a log-logistically distributed random variable X the maximum likelihood estimation is analysed in detail if a left-truncation point xL0is introduced. Due to scaling properties it is sufficient to investigate the case xL=1....

This paper demonstrates how the observed correlation between probability of default and loss given default depends on the fact that defaults in which collateral provides 100% recovery are not observed. Creditors see only the defaults of mortgagors who suffer from a fall in collateral value to...

The stochastic frontier model was first proposed in the context of production function estimation to account for the effect of technical inefficiency. The inefficiency causes actual output to fall below the potential level (that is, the production frontier) and also raises production cost above...

In this manuscript we introduce R package <Emphasis FontCategory="NonProportional">Compounding for dealing with continuous distributions obtained by compounding continuous distributions with discrete distributions. We demonstrate its use by computing values of cumulative distribution function, probability density function, quantile...</emphasis>

In the paper of Akahira (Ann Inst Statist Math 48:349–364, <CitationRef CitationID="CR9">1996</CitationRef>), it was shown that the second order asymptotic loss of information in reducing to a statistic consisting of extreme values and an asymptotically ancillary statistic vanished for a family of non-regular distributions whose...</citationref>

In this paper, two pivotal quantities are modified to construct prediction intervals for future lifetime based on random number of three parameters Weibull distribution, which can be widely applied in reliability theory and lifetime problems. The case of fixed sample size is presented as a...

In this paper we discuss the specification and estimation of technical efficiency in a variety of stochastic frontier production models. The focus is on cross-sectional models. We start from the basic neoclassical production theory and introduce technical inefficiency in there. Various model...