Consistent estimation for discretely observed Markov jump processes with an absorbing state

DOI10.1007/S00362-013-0515-0MaRDI QIDQ379949zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

credit ratingdiscrete observationsEMmultiple Markov jump processparametric maximum likelihood

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Markov processes: estimation; hidden Markov models (62M05) Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Maximum likelihood estimation for left-censored survival times in an additive hazard model
• Asymptotic normality for discretely observed Markov jump processes with an absorbing state
• scientific article; zbMATH DE number 1990737 (Why is no real title available?)
• Robust and consistent estimation of generators in credit risk
• An extended likelihood framework for modelling discretely observed credit rating transitions
• A score-test on measurement errors in rating transition times
• Statistical Inference for Discretely Observed Markov Jump Processes

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