Estimation and status prediction in a discrete mover‐stayer model with covariate effects on stayer's probability

DOI10.1002/ASMB.2292zbMath1414.62499OpenAlexW2765358183MaRDI QIDQ4627149

Halina Frydman, Anna Matuszyk

Publication date: 7 March 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2292

zbMATH Keywords

predictionbootstrapEM algorithmcredit riskcovariate effectsdiscrete-time mover-stayer modelstatus classification

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bootstrap, jackknife and other resampling methods (62F40) Credit risk (91G40)

Cites Work

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• A dynamic Mover-Stayer model for recurrent event processes subject to resolution
• A multiple time scale survival model with a cure fraction
• Maximum Likelihood Estimation in the Mover-Stayer Model
• Improvements on Cross-Validation: The .632+ Bootstrap Method
• Estimation in the continuous time mover-stayer model with an application to bond ratings migration
• Applied Logistic Regression
• A generalized mover-stayer model for panel data
• Estimation in the Mixture of Markov Chains Moving With Different Speeds

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