Reinforced urn processes for credit risk models

DOI10.1016/j.jeconom.2014.08.003zbMath1331.91188OpenAlexW1964219273MaRDI QIDQ473338

Stefano Peluso, Antonietta Mira, Pietro Muliere

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2014.08.003

zbMATH Keywords

multivariate beta distributiondefault rate estimationPolya urnrating migration matrix estimationreinforced urn processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Combinatorial probability (60C05) Credit risk (91G40) Nonparametric inference (62G99) Exchangeability for stochastic processes (60G09)

Related Items (3)

The statistical properties of the threshold model and the feedback leadership condition ⋮ Joint and survivor annuity valuation with a bivariate reinforced urn process ⋮ The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes.

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