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

DOI10.1002/ASMB.667MaRDI QIDQ5430352zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• A Markov chain model of working life tables
• An Introduction to Credit Risk Modeling
• Nonparametric estimation of partial transition probabilities in multiple decrement models
• Statistical models based on counting processes

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(3)

• A likelihood ratio test for stationarity of rating transitions
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• A powerful nonparametric test of the effect of dementia duration on mortality

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