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

DOI10.1002/ASMB.2336MaRDI QIDQ6574579FDOQ6574579

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

• Simultaneous and selective inference: Current successes and future challenges
• Title not available (Why is that?)
• Multiple Comparisons Among Means
• Testing the Markov property with high frequency data
• Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models
• Nonparametric tests of the Markov hypothesis in continuous-time models
• Testing for the Markov property in time series
• Markov chain models for delinquency: transition matrix estimation and forecasting

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