We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors’ solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such...

For a continuous-time Markov process, occasionally, only discrete-time observations are available. For a simple sample of homogeneous Markov jump processes with an absorbing state, observed each on a stochastic grid of time points, we establish asymptotic normality of the maximum likelihood...

For a continuous-time Markov process, commonly, only discrete-time observations are available. We analyze multiple observations of a homogeneous Markov jump process with an absorbing state. We establish consistency of the maximum likelihood estimator, as the number of Markov processes increases....