Consistent estimation for discretely observed Markov jump processes with an absorbing state

DOI10.1007/s00362-013-0515-0zbMath1400.62169OpenAlexW2055996035MaRDI QIDQ379949

Alexander Kremer, Rafael Weißbach

Publication date: 11 November 2013

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-013-0515-0

zbMATH Keywords

discrete observationscredit ratingEMmultiple Markov jump processparametric maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Censored data models (62N01) Markov processes: estimation; hidden Markov models (62M05) Continuous-time Markov processes on general state spaces (60J25) Discrete-time Markov processes on general state spaces (60J05)

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