Open Markov chain scheme models

MaRDI QIDQ5357887zbMATH OpenFDO

Authors Manuel L. Esquível, José Manoel Fernandes, Gracinda R. Guerreiro

Publication date 18 September 2017

Full work available at URL https://www.ine.pt/revstat/pdf/rs170206.pdf

zbMATH Keywords

ARIMAcredit riskMarkov chainsopen Markov chain modelsSARMAsecond order processes

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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