Statistical inference for discretely observed Markov jump processes
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DOI: 10.1111/j.1467-9868.2005.00508.x
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Cited by:
- Yong Chen & Jianmin Chen, 2011. "On the Imbedding Problem for Three-State Time Homogeneous Markov Chains with Coinciding Negative Eigenvalues," Journal of Theoretical Probability, Springer, vol. 24(4), pages 928-938, December.
- Guglielmo D’Amico & Philippe Regnault, 2018. "Dynamic Measurement of Poverty: Modeling and Estimation," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(2), pages 305-340, November.
- Yasunari Inamura, 2006. "Estimating Continuous Time Transition Matrices From Discretely Observed Data," Bank of Japan Working Paper Series 06-E-7, Bank of Japan.
- Jia, Chen, 2016. "A solution to the reversible embedding problem for finite Markov chains," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 122-130.
- Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
- Alexander Kremer & Rafael Weißbach, 2013. "Consistent estimation for discretely observed Markov jump processes with an absorbing state," Statistical Papers, Springer, vol. 54(4), pages 993-1007, November.
- Greig Smith & Goncalo dos Reis, 2017. "Robust and Consistent Estimation of Generators in Credit Risk," Papers 1702.08867, arXiv.org, revised Oct 2017.
- R. A. Hubbard & L. Y. T. Inoue & J. R. Fann, 2008. "Modeling Nonhomogeneous Markov Processes via Time Transformation," Biometrics, The International Biometric Society, vol. 64(3), pages 843-850, September.
- Ross, J.V. & Pagendam, D.E. & Pollett, P.K., 2009. "On parameter estimation in population models II: Multi-dimensional processes and transient dynamics," Theoretical Population Biology, Elsevier, vol. 75(2), pages 123-132.
- Huang, Jia-Ping & Sumita, Ushio, 2015. "Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 453-468.
- Marius Pfeuffer & Goncalo dos Reis & Greig smith, 2018. "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations," Papers 1809.09889, arXiv.org, revised Feb 2020.
- Alan Riva-Palacio & Ramsés H. Mena & Stephen G. Walker, 2023. "On the estimation of partially observed continuous-time Markov chains," Computational Statistics, Springer, vol. 38(3), pages 1357-1389, September.
- Kremer, Alexander & Weißbach, Rafael, 2014. "Asymptotic normality for discretely observed Markov jump processes with an absorbing state," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 136-139.
- Yu Luo & David A. Stephens & Aman Verma & David L. Buckeridge, 2021. "Bayesian latent multi‐state modeling for nonequidistant longitudinal electronic health records," Biometrics, The International Biometric Society, vol. 77(1), pages 78-90, March.
- Linda Möstel & Marius Pfeuffer & Matthias Fischer, 2020. "Statistical inference for Markov chains with applications to credit risk," Computational Statistics, Springer, vol. 35(4), pages 1659-1684, December.
- Mogens Bladt & Michael SØrensen, 2009. "Efficient estimation of transition rates between credit ratings from observations at discrete time points," Quantitative Finance, Taylor & Francis Journals, vol. 9(2), pages 147-160.
- Lapshin, Viktor & Anton, Markov, 2022. "MCMC-based credit rating aggregation algorithm to tackle data insufficiency," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 68, pages 50-72.
- D'Amico, Guglielmo & Singh, Shakti & Selvamuthu, Dharmaraja, 2024. "Optimal investment-disinvestment choices in health-dependent variable annuity," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 1-15.
- Guglielmo D'Amico & Riccardo De Blasis & Philippe Regnault, 2020. "Confidence sets for dynamic poverty indexes," Papers 2006.06595, arXiv.org.
- Azam Asanjarani & Yoni Nazarathy & Peter Taylor, 2021. "A survey of parameter and state estimation in queues," Queueing Systems: Theory and Applications, Springer, vol. 97(1), pages 39-80, February.
- David Azriel & Paul D. Feigin & Avishai Mandelbaum, 2019. "Erlang-S: A Data-Based Model of Servers in Queueing Networks," Management Science, INFORMS, vol. 65(10), pages 4607-4635, October.
- Guglielmo D’Amico & Shakti Singh & Dharmaraja Selvamuthu, 2023. "Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits," Annals of Finance, Springer, vol. 19(3), pages 383-400, September.
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