Estimation of Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal and weighted adjustment of matrix logarithm based candidate solutions as in Israel (2001) <doi:10.1111/1467-9965.00114> as well as a quasi-optimization approach. Moreover, the expectation-maximization algorithm and the Gibbs sampling approach of Bladt and Sorensen (2005) <doi:10.1111/j.1467-9868.2005.00508.x> are included.
Cited in
(6)- Robust and consistent estimation of generators in credit risk
- markovchain
- sison5
- Statistical inference for Markov chains with applications to credit risk
- An extended likelihood framework for modelling discretely observed credit rating transitions
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
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