Dimensional reduction for latent scores modeling using recursive integration

DOI10.1080/15598608.2012.695701zbMath1425.62048OpenAlexW2024810477MaRDI QIDQ2320784

Seksan Kiatsupaibul, Anthony J. Hayter

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2012.695701

zbMATH Keywords

numerical integrationlatent variablescovariatesBayesian modelingposterior expectationcutpointscredit risk ratingsrecursive intregration

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Credit risk (91G40)

Cites Work

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• A Bayesian Latent Variable Mixture Model for Longitudinal Fetal Growth

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