Robust analysis of default intensity (Q1927110)

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Robust analysis of default intensity
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    title
    Robust analysis of default intensity (English)
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    author
    Tiziano Bellini
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    Marco Riani
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    publication date
    30 December 2012
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    Mathematics Subject Classification ID
    91B84
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    62P05
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    62M10
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    zbMATH DE Number
    6119752
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    zbMATH Keywords
    forward search
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    outlier
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    Kalman filter
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    term structure of default intensity
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