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  • Search: subject:"Nonhomogeneous semi-Markov processes"
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Year of publication
Subject
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Nonhomogeneous semi-Markov processes 4 Volterra integral equations 4 credit risk 4 separability 4 transition matrix 4 Credit risk 1 Estimation theory 1 Kreditrisiko 1 Markov chain 1 Markov-Kette 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Schätztheorie 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2 Undetermined 2
Author
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Smirnov, Georgi V. 4 Lucas, Andre 3 Monteiro, Andre 3 Lucas, André 1 Monteiro, André Antonio 1
Institution
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Tinbergen Institute 1 Tinbergen Instituut 1
Published in...
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Tinbergen Institute Discussion Papers 2 Discussion paper / Tinbergen Institute 1 Tinbergen Institute Discussion Paper 1
Source
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RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
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Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10010325348
Saved in:
Cover Image
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Institute - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10005450790
Saved in:
Cover Image
Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk
Monteiro, Andre; Smirnov, Georgi V.; Lucas, Andre - Tinbergen Instituut - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011255640
Saved in:
Cover Image
Nonparametric estimation for non-homogeneous semi-Markov processes : an application to credit risk
Monteiro, André Antonio; Smirnov, Georgi V.; Lucas, André - 2006
We propose procedures for estimating the time-dependent transition matrices for the general class of finite nonhomogeneous continuous-time semi-Markov processes. We prove the existence and uniqueness of solutions for the system of Volterra integral equations defining the transition matrices,...
Persistent link: https://www.econbiz.de/10011348706
Saved in:
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