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Search: subject:"Reinforced urn processes"
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Reinforced urn processes
3
Default rate estimation
2
Multivariate Beta distribution
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Polya urn
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Rating migration matrix estimation
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Block bootstrap
1
Credit risk
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Exchangeability
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Financial services
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Finanzdienstleistung
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Mira, Antonietta
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Muliere, Pietro
2
Peluso, Stefano
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Cirillo, Pasquale
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Mulière, Pietro
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Journal of Econometrics
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Reinforced
urn
processes
for credit risk models
Peluso, Stefano
;
Mira, Antonietta
;
Mulière, Pietro
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011326824
Saved in:
2
Reinforced
urn
processes
for credit risk models
Peluso, Stefano
;
Mira, Antonietta
;
Muliere, Pietro
- In:
Journal of Econometrics
184
(
2015
)
1
,
pp. 1-12
reinforced
urn
processes
(RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior …
Persistent link: https://www.econbiz.de/10011077595
Saved in:
3
An urn-based Bayesian block bootstrap
Cirillo, Pasquale
;
Muliere, Pietro
- In:
Metrika
76
(
2013
)
1
,
pp. 93-106
construction of exchangeable blocks. Our sampling mechanism is based on a particular class of
reinforced
urn
processes
. Copyright …
Persistent link: https://www.econbiz.de/10010634338
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