Hello!
I have a matrix with data and a column indicating whether it is censored
or not. Is there a way to apply weibull and exponential maximum
likelihood estimation directly on the censored data, like in the paper:
Backtesting Value-at-Risk: A Duration-Based Approach, P Chrisoffersen
and D Pe
I am trying to export a dateframe created in R:
> Duration_summary
V1 2.5 % 97.5 % V4 2.5 %97.5 %
[1,] 1 0.46076018 1.128776 1.00 0.5280828 0.9576338
[2,] 0 0. 0.00 1.00 0.1741793 1.2352705
[3,] 1 0.46566719 1.313711 1.00 0.7233312 1.4097
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