Statistical inference for Markov chains with applications to credit risk

DOI10.1007/S00180-020-00978-0zbMath1505.62295OpenAlexW3013320614MaRDI QIDQ2228220

Matthias Fischer, Marius Pfeuffer, Linda Möstel

Publication date: 17 February 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-00978-0

zbMATH Keywords

bootstraptransition matrixMetropolis-Hastings algorithmJeffreys priorgenerator matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Credit risk (91G40)

Related Items (2)

Robust parametric inference for finite Markov chains ⋮ Estimation in a general mixture of Markov jump processes

Uses Software

• R
• msm
• MultinomialCI
• bootstrap
• sison5
• ctmcd

Cites Work

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