Open Markov Chain Scheme Models Fed by Second Order Stationary and Non Stationary Processes

Autor:	Manuel L. Esquível, Gracinda R. Guerreiro, José M. Fernandes
Jazyk:	angličtina
Rok vydání:	2017
Předmět:	Markov chains Open Markov chain models Second order processes ARIMA SARMA Credit Risk Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 15, Iss 2 (2017)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
DOI:	10.57805/revstat.v15i2.213
Popis:	We introduce a schematic formalism for the time evolution of a random open population divided into classes. With a Markov chain model, allowing for population entrances, we consider the flow of incoming members modeled by a time series - either ARIMA for the number of new incomings or SARMA for the residuals of a deterministic sigmoid type trend - and we detail the time series structure of the elements in each class. A practical application to real data from a credit portfolio is presented.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/c0d492a71e7b4cd8ae4778de25b83143 Zobrazit plný text záznamu View record in DOAJ