Dimensional reduction for latent scores modeling using recursive integration

DOI10.1080/15598608.2012.695701MaRDI QIDQ2320784zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

Bayesian modelingcovariatescredit risk ratingscutpointslatent variablesnumerical integrationposterior expectationrecursive intregration

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

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Cited in

(1)

• A tractable latent variable model for nonlinear dimensionality reduction

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