An increased risk of credit-related exposures and the contagion effect of the recent global financial crisis have led to stringent regulations and the need for accurate credit risk models. Under the ...

Nonparametric estimation of the transition probability matrix of a progressive multi-state model is considered under cross-sectional sampling. Two different estimators adapted to possibly ...

Abstract: In conventional interactive multiple model (IMM) algorithm, the fixed transition probability matrix results in slow model switching and low tracking accuracy. Existing adaptive transition ...

I'm tring to fit a multi-state model and I specified the transition probabilities in the Q matrix. In my dataset the only possible transitions are however when the multistate model has converged the ...

Abstract: The transition probability matrix of the Markov cipher is doubly stochastic. The eigenvalue of the matrix with maximum magnitude less than one plays an important role in designing the Markov ...