Smoothed parameter estimation for a hidden Markov model of credit quality
| Autor: | Robert J. Elliott, Małgorzata W. Korolkiewicz |
|---|---|
| Přispěvatelé: | Korolkiewicz, Malgorzata Wiktoria, Elliott, Robert |
| Jazyk: | angličtina |
| Rok vydání: | 2007 |
| Předmět: |
hidden markov model
Markov chain Estimation theory Computer science smoothing Markov model Credit rating Discrete time and continuous time credit quality Econometrics Applied mathematics Hidden semi-Markov model Hidden Markov model Martingale (probability theory) Finance Stochastic Analysis and Modelling |
| Zdroj: | International Series in Operations Research & Management Science ISBN: 9780387710815 |
| Popis: | We consider a hidden Markov model of credit quality. We assume that the credit rating evolution can be described by a Markov chain but that we do not observe this Markov chain directly. Rather, it is hidden in “noisy” observations represented by the posted credit ratings. The model is formulated in discrete time with a Markov chain observed in martingale noise. We derive smoothed estimates for the state of the Markov chain governing the evolution of the credit rating process and the parameters of the model. |
| Databáze: | OpenAIRE |
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