Statistical inference for Markov chains with applications to credit risk-Reference-Cited by-同舟云学术

Statistical inference for Markov chains with applications to credit risk

Published:2020-03-25 Issue:4 Volume:35 Page:1659-1684
ISSN:0943-4062
Container-title:Computational Statistics
language:en
Short-container-title:Comput Stat

Author:

Möstel Linda,Pfeuffer Marius,Fischer Matthias

Funder

DZ Bank Foundation

Universitätsbund Erlangen-Nürnberg

Publisher

Springer Science and Business Media LLC

Subject

Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s00180-020-00978-0.pdf

Reference51 articles.

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2. Assoudou S, Essebbar B (2003) A Bayesian model for Markov chains via Jeffrey’s prior. Commun Stat Theory Methods 32(11):2163–2184

3. Bailey BJR (1980) Large sample simultaneous confidence intervals for the multinomial probabilities based on transformations of cell frequencies. Technometrics 22(4):583–589

4. Basel Committee on Banking Supervision (2006) International convergence of capital measurement and capital standards. A revised framework-comprehensive version https://www.bis.org/publ/bcbs128.pdf

5. Betancourt L (1999) Using Markov chains to estimate losses from a portfolio of mortgages. Rev Quant Finance Account 12(3):303–318

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