Operational Risk Modeling(continuous distribution)

bilal
Posts: 1
Joined: Thu Nov 27, 2014 11:42 am

Operational Risk Modeling(continuous distribution)

Postby bilal » Thu Nov 27, 2014 4:44 pm

1. how to decide a seed value of a parameter while implementing MLE ?
2. how to calculate MME for weibull distribution ?
3. How to calculate GPD if I do not want to use custom function ?

edupristine
Finance Junkie
Posts: 722
Joined: Wed Apr 09, 2014 6:28 am

Operational Risk Modeling(continuous distribution)

Postby edupristine » Thu Dec 04, 2014 2:16 pm

2. if you look up the mean and variance of the Weibull distribution, you can use a 2-dimensional root-finder to solve (mean,variance)=(shape,scale) (I think you could do a little bit of algebra to reduce the problem to a slightly simpler form where you might be able to do 1D root-finding, which is much easier)

3. Could you please elaborate more.


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