Statistical inference for Markov chains with applications to credit risk
DOI10.1007/s00180-020-00978-0zbMath1505.62295OpenAlexW3013320614MaRDI QIDQ2228220
Matthias Fischer, Marius Pfeuffer, Linda Möstel
Publication date: 17 February 2021
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00180-020-00978-0
Computational methods for problems pertaining to statistics (62-08) Parametric tolerance and confidence regions (62F25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40) Credit risk (91G40)
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