R package ctmcd: Estimating the Parameters of a Continuous-Time Markov Chain from Discrete-Time Data. Functions for estimating Markov generator matrices from discrete-time observations. The implemented approaches comprise diagonal adjustment, weighted adjustment and quasi-optimization of matrix logarithm based candidate solutions, an expectation-maximization algorithm as well as a Gibbs sampler.
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References in zbMATH (referenced in 4 articles )
Showing results 1 to 4 of 4.
- dos Reis, G.; Pfeuffer, M.; Smith, G.: Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations (2020)
- Möstel, Linda; Pfeuffer, Marius; Fischer, Matthias: Statistical inference for Markov chains with applications to credit risk (2020)
- Pfeuffer, M.; Möstel, L.; Fischer, M.: An extended likelihood framework for modelling discretely observed credit rating transitions (2019)
- Dos Reis, G.; Smith, G.: Robust and consistent estimation of generators in credit risk (2018)