Mittnik, Stefan (contributor); Yener, Tina (contributor) - 2008
representation. For multivariate
normal latent variables with „ = 0 and W = 1, the observed conditional default probability
is
p …(ˆ) = P(Xi • di1j“ = ˆ) = '
'¡1(…)¡p‰
X ˆp
1¡‰X
¶
:
For a multivariate Student-t distribution the analogous result is
p … multivariate normal or multivariate Student-t probability density function.
3.3. The mixing distribution. Within the mixture model …