transitionprobbytotals: estimate of transition probabilities.

In RTransProb: Analyze and Forecast Credit Migrations

Description

estimation of transition probabilities using a transition counts and start vector.

Usage

transitionprobbytotals(idTotCnt,snapshots,interval,method)

Arguments

idTotCnt	a list structure containing m-by-m matrices of transition counts, 1-by-m vectors start counts, and a string with values 'duration' or 'cohort'.
snapshots	integer indicating the number of credit-rating snapshots per year to be considered for the estimation. Valid values are 1, 4, or 12. The default value is 1, i.e., one snapshot per year. This parameter is only used in the 'cohort' algorithm.
interval	the length of the transition interval under consideration, in years. The default value is 1, i.e., 1-year transition probabilities are estimated.
method	estimation algorithm, in string format. Valid values are 'duration' or 'cohort'.

Value

Returns m-by-m matrices of credit transition probabilities

Author(s)

Abdoulaye (Ab) N'Diaye

References

MathWorld.com (2011). Matlab Central http://www.mathworks.com/matlabcentral/. Mathtools.net http://www.mathtools.net/.

RTransProb documentation built on May 2, 2019, 6:49 a.m.