Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default.
Zheqi WangJonathan CrookGalina AndreevaPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- posterior distribution
- bayesian estimation
- parameter estimation
- bayesian learning
- probability distribution
- latent variables
- posterior probability
- prior distribution
- markov chain monte carlo
- bayesian framework
- hyperparameters
- risk assessment
- gaussian distribution
- sequential importance sampling
- model averaging
- bayesian inference
- error rate
- co occurrence