Assessing Markov property in multistate transition models with applications to credit risk modeling

DOI10.1002/asmb.2336MaRDI QIDQ6574579

Agus Sudjianto, Vijayan N. Nair, Hanyu Yang, Jie Chen

Publication date: 18 July 2024

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

zbMATH Keywords

risk managementChapman-Kolmogorov equationnon-Markov processesMarkov hypothesis testweak hypothesis

Mathematics Subject Classification ID

Statistics (62-XX)

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