Dimensional reduction for latent scores modeling using recursive integration
From MaRDI portal
Publication:2320784
DOI10.1080/15598608.2012.695701zbMath1425.62048MaRDI QIDQ2320784
Seksan Kiatsupaibul, Anthony J. Hayter
Publication date: 27 August 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2012.695701
numerical integration; latent variables; covariates; Bayesian modeling; posterior expectation; cutpoints; credit risk ratings; recursive intregration
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91G40: Credit risk