Damian, Camilla; Eksi, Zehra; Frey, Rüdiger - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 51-72
Abstract In this paper we study parameter estimation via the Expectation Maximization (EM) algorithm for a continuous-time hidden Markov model with diffusion and point process observation. Inference problems of this type arise for instance in credit risk modelling. A key step in the application...