I am given two data sets containing dates and losses (in some currency). I have to determine the maximum likelihood estimates of the parameters of loglogistic distribution.
I googled and found a paper that gives me the "MMLE" for sigma in (2.4).
1 Is that good enough to substitute for MLE? It seems to follow the same procedure of getting the MLE that I recall from introductory statistics.
2 To estimate sigma, it looks like I will have to censor s values from sample. How do I determine a value for s?
- For each loss data set [given elsewhere],
determine the maximum likelihood estimates of the parameters of each of the following models:
a. Loglogistic distribution
For each model in no. 1, perform the following goodness-of-fit tests:
a. Kolmogorov-Smirnov test b. Anderson-Darling test c. Chi-square goodness-of-fit test
The following must be included in your report:
a) Word file (hard copy): Complete solution: discussion of the likelihood (or loglikelihood) function for each model, discussion of the goodness-of-fit tests for each model Computation of VaR and TVaR b) Excel file (by email): Implementation of the formulas obtained in 3.a "