3 citations · 7 across the 12 of their papers we have counts for
5 papers · 1 filter
MLE's bias pathology motivates MCMLE
Yannis G. Yatracos
Maximum likelihood estimates are often biased. It is shown that this pathology is inherent to the traditional ML estimation method for two or more parameters, thus motivating from…
MLE's bias pathology, Model Updated Maximum Likelihood Estimates and Wallace's Minimum Message Length method
Yannis G. Yatracos
The inherent bias pathology of the maximum likelihood (ML) estimation method is confirmed for models with unknown parameters and when MLE is function of MLE $\hat…
Option pricing, Bayes risks and Applications
Yannis G. Yatracos
A statistical decision problem is hidden in the core of option pricing. A simple form for the price C of a European call option is obtained via the minimum Bayes risk, R_B, of a 2-…
A new method to obtain risk neutral probability, without stochastic calculus and price modeling, confirms the universal validity of Black-Scholes-Merton formula and volatility's role
Yannis G. Yatracos
A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling proble…
Concerns on Monotonic Imbalance Bounding Matching Methods
Yannis G. Yatracos
Concerns are expressed for the Monotonic Imbalance Bounding (MIB) property (Iacus et al. 2011) and for MIB matching because i) the definition of the MIB property leads to inconsist…