Estimating rating transition probabilities with missing data

DOI10.1007/BF02511578zbMath1089.62122MaRDI QIDQ2493258

Marco Bee

Publication date: 12 June 2006

Published in: Statistical Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

transition matrixcontinuous-time Markov chaindefault probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Intermittent Missing Observations in Discrete-Time Hidden Markov Models ⋮ A partial proximal point algorithm for nuclear norm regularized matrix least squares problems ⋮ Effective transfer entropy to measure information flows in credit markets

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