Assessing Markov property in multistate transition models with applications to credit risk modeling

DOI10.1002/ASMB.2336MaRDI QIDQ6574579zbMATH OpenFDO

Authors Hanyu Yang, Vijayan N. Nair, Jie Chen, Agus Sudjianto

Publication date 18 July 2024

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

zbMATH Keywords

risk managementChapman-Kolmogorov equationnon-Markov processesMarkov hypothesis testweak hypothesis

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3026527 (Why is no real title available?)
• Markov chain models for delinquency: transition matrix estimation and forecasting
• Modelling credit grade migration in large portfolios using cumulative t-link transition models
• Multiple Comparisons Among Means
• Nonparametric tests of the Markov hypothesis in continuous-time models
• Simultaneous and selective inference: Current successes and future challenges
• Testing for the Markov property in time series
• Testing the Markov property with high frequency data

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