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 ratingEMdiscrete observationsmultiple Markov jump processparametric maximum likelihood

Mathematics Subject Classification ID

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)

Recommendations

• Asymptotic normality for discretely observed Markov jump processes with an absorbing state
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Statistical Inference for Discretely Observed Markov Jump Processes
• On likelihood estimation for a discretely observed jump process
• Modeling rating transitions

Cites work

• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A likelihood ratio test for stationarity of rating transitions
• Bayesian analysis of multistate event history data: beta-Dirichlet process prior
• Estimation in the birth process
• Exponential families of stochastic processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Maximum likelihood estimation in the birth-and-death process
• Modeling frailty-correlated defaults using many macroeconomic covariates
• Modeling rating transitions
• ON LIKELIHOOD ESTIMATION FOR DISCRETELY OBSERVED MARKOV JUMP PROCESSES
• Statistical Inference for Discretely Observed Markov Jump Processes
• Statistical Inference in Evolutionary Models of DNA Sequences via the EM Algorithm
• Statistical decision theory. Estimation, testing, and selection.
• Stochastic Modeling of Scientific Data
• Testing for jumps in a discretely observed process
• Weak convergence and empirical processes. With applications to statistics

Cited in

(7)

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

This page was built for publication: Consistent estimation for discretely observed Markov jump processes with an absorbing state

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q379949)