On the maximum likelihood estimation of a discrete, finite support distribution under left-truncation and competing risks

Jackson P. Lautier, Vladimir Pozdnyakov and Jun Yan

Statistics & Probability Letters, 2024, vol. 207, issue C

Abstract: We prove the classical cause-specific hazard rate estimator is a maximum likelihood estimate (MLE) in a discrete-time, finite support setting. We use an alternative parameterization to simplify the multidimensional constrained optimization problem, which allows for a direct calculus-based solution.

Keywords: Asset-backed security; Asset-level disclosures; Convexity; Reverse hazard rate; Reg AB II; Securitization (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.109973

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