Consistent estimation for discretely observed Markov jump processes with an absorbing state
DOI10.1007/S00362-013-0515-0zbMATH Open1400.62169OpenAlexW2055996035MaRDI QIDQ379949FDOQ379949
Authors: Alexander Kremer, Rafael Weißbach 
Publication date: 11 November 2013
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00362-013-0515-0
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Markov processes: estimation; hidden Markov models (62M05) Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25)
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- ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
- Estimation in the birth process
- Modeling rating transitions
Cited In (7)
- Asymptotic normality for discretely observed Markov jump processes with an absorbing state
- Statistical Inference for Discretely Observed Markov Jump Processes
- An extended likelihood framework for modelling discretely observed credit rating transitions
- Maximum likelihood estimation for left-censored survival times in an additive hazard model
- A score-test on measurement errors in rating transition times
- Robust and consistent estimation of generators in credit risk
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