Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk

SSRN Electronic Journal ◽

10.2139/ssrn.892782 ◽

2006 ◽

Cited By ~ 1

Author(s):

Andre Lucas ◽

Andre A. Monteiro ◽

Georgi V. Smirnov

Keyword(s):

Credit Risk ◽

Markov Processes ◽

Nonparametric Estimation ◽

Semi Markov Processes

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Nonparametric Estimation of Integral Functionals for Semi-Markov Processes with Application in Reliability

Statistical Models and Methods for Biomedical and Technical Systems ◽

10.1007/978-0-8176-4619-6_28 ◽

2008 ◽

pp. 405-418 ◽

Cited By ~ 2

Author(s):

Nikolaos Limnios ◽

Brahim Ouhbi

Keyword(s):

Markov Processes ◽

Nonparametric Estimation ◽

Integral Functionals ◽

Semi Markov Processes

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Semi-Markov Processes Migration Credit Risk Models

Semi-Markov Migration Models for Credit Risk ◽

10.1002/9781119415084.ch1 ◽

2017 ◽

pp. 1-50

Keyword(s):

Credit Risk ◽

Markov Processes ◽

Risk Models ◽

Semi Markov Processes

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Discrete Time Semi-Markov Processes for Reliability and Survival Analysis — A Nonparametric Estimation Approach

Statistics for Industry and Technology - Parametric and Semiparametric Models with Applications to Reliability, Survival Analysis, and Quality of Life ◽

10.1007/978-0-8176-8206-4_30 ◽

2004 ◽

pp. 487-502 ◽

Cited By ~ 5

Author(s):

Vlad Barbu ◽

Nikolaos Limnios

Keyword(s):

Survival Analysis ◽

Markov Processes ◽

Discrete Time ◽

Nonparametric Estimation ◽

Semi Markov Processes

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Smoothed nonparametric estimation in window censored semi-Markov processes

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2004.03.003 ◽

2005 ◽

Vol 131 (2) ◽

pp. 209-229 ◽

Cited By ~ 5

Author(s):

Enrique E. Alvarez

Keyword(s):

Markov Processes ◽

Nonparametric Estimation ◽

Semi Markov Processes

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Bivariate Semi-Markov Processes and Related Reward Processes for Counterparty Credit Risk and Credit Spreads

Semi-Markov Migration Models for Credit Risk ◽

10.1002/9781119415084.ch7 ◽

2017 ◽

pp. 205-265

Keyword(s):

Credit Risk ◽

Markov Processes ◽

Credit Spreads ◽

Counterparty Credit Risk ◽

Semi Markov Processes

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Nonparametric estimation of some important indicators in reliability for semi-Markov processes

Statistical Methodology ◽

10.1016/j.stamet.2005.10.003 ◽

2006 ◽

Vol 3 (4) ◽

pp. 341-350 ◽

Cited By ~ 14

Author(s):

Nikolaos Limnios ◽

Brahim Ouhbi

Keyword(s):

Markov Processes ◽

Nonparametric Estimation ◽

Semi Markov Processes

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Nonparametric Estimation for Failure Rate Functions of Discrete Time semi-Markov Processes

Probability, Statistics and Modelling in Public Health ◽

10.1007/0-387-26023-4_5 ◽

2006 ◽

pp. 53-72 ◽

Cited By ~ 2

Author(s):

Vlad Barbu ◽

Nikolaos Limnios

Keyword(s):

Failure Rate ◽

Markov Processes ◽

Discrete Time ◽

Nonparametric Estimation ◽

Rate Functions ◽

Semi Markov Processes

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Bayesian nonparametric estimation of first passage distributions in semi‐Markov processes

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.2486 ◽

2019 ◽

Vol 36 (2) ◽

pp. 237-250

Author(s):

Richard L. Warr ◽

Travis B. Woodfield

Keyword(s):

Markov Processes ◽

Nonparametric Estimation ◽

Bayesian Nonparametric ◽

First Passage ◽

Semi Markov Processes ◽

Bayesian Nonparametric Estimation

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Maximum spacing estimation for continuous time Markov chains and semi-Markov processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-021-09238-4 ◽

2021 ◽

Author(s):

Kristi Kuljus ◽

Bo Ranneby

Keyword(s):

Markov Chains ◽

Markov Processes ◽

Continuous Time ◽

Continuous Time Markov Chains ◽

Semi Markov Processes

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Computational Methods for Renewal Theory and Semi-Markov Processes with Illustrative Examples

The American Statistician ◽

10.1080/00031305.1988.10475547 ◽

1988 ◽

Vol 42 (2) ◽

pp. 143-152 ◽

Cited By ~ 1

Author(s):

Charles J. Mode ◽

Gary T. Pickens

Keyword(s):

Computational Methods ◽

Markov Processes ◽

Renewal Theory ◽

Semi Markov Processes

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