Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk

DOI10.1002/ASMB.667zbMATH Open1164.62033OpenAlexW2098781054MaRDI QIDQ5430352FDOQ5430352

Authors: Rafael Weißbach, Holger Dette 

Publication date: 16 December 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.667

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zbMATH Keywords

Markov processesrating migration

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Censored data models (62N01) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Statistical models based on counting processes
• Title not available (Why is that?)
• An Introduction to Credit Risk Modeling
• Nonparametric estimation of partial transition probabilities in multiple decrement models
• A Markov chain model of working life tables

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• A powerful nonparametric test of the effect of dementia duration on mortality

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