A Continuous-Time Hidden Markov Model of Credit Quality Underlying Published Agencies&Apos; Ratings

2021 ◽  
Author(s):  
Mauricio Gonzalez ◽  
Edouard Pineau ◽  
Remy Estran
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Continuous Time ◽  
Hidden Markov ◽  
Credit Quality

scholarly journals Umibato: estimation of time-varying microbial interaction using continuous-time regression hidden Markov model

2021 ◽  
Author(s):  
Shion Hosoda ◽  
Tsukasa Fukunaga ◽  
Michiaki Hamada
Keyword(s):  
Gut Microbiota ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Continuous Time ◽  
Hidden Markov ◽  
Hidden Variables ◽  
Microbial Interactions ◽  
Interaction Networks ◽  
Time Varying ◽  
Microbial Interaction

AbstractMotivationAccumulating evidence has highlighted the importance of microbial interaction networks. Methods have been developed for estimating microbial interaction networks, of which the generalized Lotka-Volterra equation (gLVE)-based method can estimate a directed interaction network. The previous gLVE-based method for estimating microbial interaction networks did not consider time-varying interactions.ResultsIn this study, we developed unsupervised learning based microbial interaction inference method using Bayesian estimation (Umibato), a method for estimating time-varying microbial interactions. The Umibato algorithm comprises Gaussian process regression (GPR) and a new Bayesian probabilistic model, the continuous-time regression hidden Markov model (CTRHMM). Growth rates are estimated by GPR, and interaction networks are estimated by CTRHMM. CTRHMM can estimate time-varying interaction networks using interaction states, which are defined as hidden variables. Umibato outperformed the existing methods on synthetic datasets. In addition, it yielded reasonable estimations in experiments on a mouse gut microbiota dataset, thus providing novel insights into the relationship between consumed diets and the gut microbiota.AvailabilityThe C++ and python source codes of the Umibato software are available at http://github.com/shion-h/[email protected], [email protected]

scholarly journals A hidden Markov model approach to characterizing the photo-switching behavior of fluorophores

2017 ◽  
Author(s):  
Lekha Patel ◽  
Nils Gustafsson ◽  
Yu Lin ◽  
Raimund Ober ◽  
Ricardo Henriques ◽  
...  
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Continuous Time ◽  
Hidden Markov ◽  
Super Resolution ◽  
Information Criterion ◽  
Switching Behavior ◽  
Time Signal ◽  
Full Characterization ◽  
Continuous Time Process

AbstractFluorescing molecules (fluorophores) that stochastically switch between photon-emitting and dark states underpin some of the most celebrated advancements in super-resolution microscopy. While this stochastic behavior has been heavily exploited, full characterization of the underlying models can potentially drive forward further imaging methodologies. Under the assumption that fluorophores move between fluorescing and dark states as continuous time Markov processes, the goal is to use a sequence of images to select a model and estimate the transition rates. We use a hidden Markov model to relate the observed discrete time signal to the hidden continuous time process. With imaging involving several repeat exposures of the fluorophore, we show the observed signal depends on both the current and past states of the hidden process, producing emission probabilities that depend on the transition rate parameters to be estimated. To tackle this unusual coupling of the transition and emission probabilities, we conceive transmission (transition-emission) matrices that capture all dependencies of the model. We provide a scheme of computing these matrices and adapt the forward-backward algorithm to compute a likelihood which is readily optimized to provide rate estimates. When confronted with several model proposals, combining this procedure with the Bayesian Information Criterion provides accurate model selection.

scholarly journals A Dependent Hidden Markov Model of Credit Quality

2012 ◽  
Vol 2012 ◽  
pp. 1-13 ◽  
Author(s):  
Małgorzata Wiktoria Korolkiewicz
Keyword(s):  
Markov Chain ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Credit Rating ◽  
Hidden Markov ◽  
Credit Ratings ◽  
The State ◽  
Credit Quality ◽  
The Em Algorithm ◽  
Rating Process

We propose a dependent hidden Markov model of credit quality. We suppose that the "true" credit quality is not observed directly but only through noisy observations given by posted credit ratings. The model is formulated in discrete time with a Markov chain observed in martingale noise, where "noise" terms of the state and observation processes are possibly dependent. The model provides estimates for the state of the Markov chain governing the evolution of the credit rating process and the parameters of the model, where the latter are estimated using the EM algorithm. The dependent dynamics allow for the so-called "rating momentum" discussed in the credit literature and also provide a convenient test of independence between the state and observation dynamics.

A hidden Markov model of credit quality

2008 ◽  
Vol 32 (12) ◽  
pp. 3807-3819 ◽  
Author(s):  
Małgorzata W. Korolkiewicz ◽  
Robert J. Elliott
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Credit Quality

scholarly journals A continuous-time hidden Markov model for cancer surveillance using serum biomarkers with application to hepatocellular carcinoma

METRON ◽  
2019 ◽  
Vol 77 (2) ◽  
pp. 67-86 ◽  
Author(s):  
Ruben Amoros ◽  
Ruth King ◽  
Hidenori Toyoda ◽  
Takashi Kumada ◽  
Philip J. Johnson ◽  
...  
Keyword(s):  
Hepatocellular Carcinoma ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Continuous Time ◽  
Hidden Markov ◽  
Serum Biomarkers ◽  
Cancer Surveillance
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