Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings (Q905225): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings	scientific article

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instance of

scholarly article

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title

Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings (English)

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author

Guglielmo D'Amico

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published in

Methodology and Computing in Applied Probability

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publication date

14 January 2016

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zbMATH Keywords

finite state Markov jump process

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rate of occurrence of failures

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plug-in estimator

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credit ratings

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11009-015-9437-8

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cites work

Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process

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A simple Markov chain structure for the evolution of credit ratings

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An Introduction to Credit Risk Modeling

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Measuring the Association of Point Processes: A Case History

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Estimation of the Entropy Rate of a Countable Markov Chain

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Computation and Estimation of Generalized Entropy Rates for Denumerable Markov Chains

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A convergence result in the estimation of Markov chains with application to compound options

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Homogeneous semi-Markov reliability models for credit risk management

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Comparative construction of plug-in estimators of the entropy rate of two-state Markov chains

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Calculating the Rate of Occurrence of Failures for Continuous-time Markov Chains with Application to a Two-component Parallel System

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The rate of occurrence of failures

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Q4742935

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The rate of occurrence of failures for semi-Markov processes and estimation

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Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes

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Q3683313

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Variance estimation in the central limit theorem for Markov chains

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Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes

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Q5555046

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Asymptotic Statistics

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Modeling rating transitions

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Identifiers

zbMATH Open document ID

1331.60169

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DOI

10.1007/s11009-015-9437-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:905225

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+https://doi.org/10.1007/s11009-015-9437-8
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+W1997195462
@@ Property / OpenAlex ID: W1997195462 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process
+Normal rank
@@ Property / cites work @@
+A simple Markov chain structure for the evolution of credit ratings
+Normal rank
@@ Property / cites work @@
+An Introduction to Credit Risk Modeling
@@ Property / cites work: An Introduction to Credit Risk Modeling / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring the Association of Point Processes: A Case History
+Normal rank
@@ Property / cites work @@
+Estimation of the Entropy Rate of a Countable Markov Chain
+Normal rank
@@ Property / cites work @@
+Computation and Estimation of Generalized Entropy Rates for Denumerable Markov Chains
+Normal rank
@@ Property / cites work @@
+A convergence result in the estimation of Markov chains with application to compound options
+Normal rank
@@ Property / cites work @@
+Homogeneous semi-Markov reliability models for credit risk management
+Normal rank
@@ Property / cites work @@
+Comparative construction of plug-in estimators of the entropy rate of two-state Markov chains
+Normal rank
@@ Property / cites work @@
+Calculating the Rate of Occurrence of Failures for Continuous-time Markov Chains with Application to a Two-component Parallel System
+Normal rank
@@ Property / cites work @@
+The rate of occurrence of failures
@@ Property / cites work: The rate of occurrence of failures / rank @@
+Normal rank
@@ Property / cites work @@
+Q4742935
@@ Property / cites work: Q4742935 / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of occurrence of failures for semi-Markov processes and estimation
+Normal rank
@@ Property / cites work @@
+Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes
+Normal rank
@@ Property / cites work @@
+Q3683313
@@ Property / cites work: Q3683313 / rank @@
+Normal rank
@@ Property / cites work @@
+Variance estimation in the central limit theorem for Markov chains
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation of reliability and survival function for continuous-time finite Markov processes
+Normal rank
@@ Property / cites work @@
+Q5555046
@@ Property / cites work: Q5555046 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling rating transitions
@@ Property / cites work: Modeling rating transitions / rank @@
+Normal rank