Estimation and Forecasting of Sovereign Credit Rating Migration Based on Regime Switching Markov Chain.
Sung Youl OhJae Wook SongWoojin ChangMinhyuk LeePublished in: IEEE Access (2019)
Keyphrases
- markov chain
- monte carlo simulation
- steady state
- importance sampling
- finite state
- stationary distribution
- monte carlo
- transition probabilities
- stochastic process
- state space
- monte carlo method
- random walk
- markov model
- markov process
- transition matrix
- population size
- pairwise
- markov chain monte carlo
- probabilistic model