A BAYESIAN SIMULATION APPROACH TO INFERENCE ON A MULTI-STATE LATENT FACTOR INTENSITY MODEL

DOI10.1111/j.1467-842X.2011.00625.xzbMath1274.62406OpenAlexW1843287859MaRDI QIDQ2892458

Chew Lian Chua, G. C. Lim, Penelope Smith

Publication date: 18 June 2012

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.2011.00625.x

zbMATH Keywords

latent factor modelauxiliary particle filternon-linear non-Gaussian state space modeltransitions in credit ratings

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Corporate finance (dividends, real options, etc.) (91G50)

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