Modeling rating transitions

DOI10.1016/j.jkss.2011.05.001zbMath1296.60206OpenAlexW2024675326MaRDI QIDQ743774

Rafael Weißbach, Thomas Mollenhauer

Publication date: 30 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.05.001

zbMATH Keywords

metriclikelihood ratiocounting processratingmultiple Markov process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (6)

Nearest neighbor hazard estimation with left-truncated duration data ⋮ Consistent estimation for discretely observed Markov jump processes with an absorbing state ⋮ A mixture of beta-Dirichlet processes prior for Bayesian analysis of event history data ⋮ Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings ⋮ Maximum likelihood estimation for left-censored survival times in an additive hazard model ⋮ A score-test on measurement errors in rating transition times

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

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