EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
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Publication:1688729
DOI10.1515/strm-2017-0021zbMath1387.60072MaRDI QIDQ1688729
Rüdiger Frey, Zehra Eksi, Camilla Damian
Publication date: 11 January 2018
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: http://epub.wu.ac.at/6952/1/damian%2Deksi%2Dfrey%2Dstatistics%2Dand%2Drisk%2Dmodelling.pdf
nonlinear filtering; point processes; goodness-of-fit tests; hidden Markov models; expectation maximization algorithm; credit risk ratings
60J22: Computational methods in Markov chains
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G35: Signal detection and filtering (aspects of stochastic processes)
91G40: Credit risk
Uses Software
