This is a preview. Log in through your library . Abstract This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of ...
In certain multivariate problems the full probability density has an awkward normalizing constant, but the conditional and/or marginal distributions may be much more tractable. In this paper we ...
In the process of loan pricing, stress testing, capital allocation, modeling of probability of default (PD) term structure and International Financial Reporting Standard 9 expected credit loss ...
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