gmci | R Documentation |
Generic function to derive confidence / credibility intervals for "EM" or "GS" based generator matrix objects
gmci(gm, alpha, ...)
gm |
a "EM" or "GS" generator matrix object |
alpha |
significance level |
... |
additional arguments:
|
If gm is based on the "EM" method (expectation-maximization algorithm), the function computes a Wald confidence interval based on the method of Oakes, 1999. IF gm is based on the "GS" method (Gibbs sampler), the function computes an equal-tailed credibility interval.
generator matrix confidence bounds
Marius Pfeuffer
M. Bladt and M. Soerensen. Efficient Estimation of Transition Rates Between Credit Ratings from Observations at Discrete Time Points. Quantitative Finance, 9(2):147-160, 2009
D. Oakes. Direct calculation of the information matrix via the EM algorithm. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61(2):479-482, 1999
G. Smith and G. dos Reis. Robust and Consistent Estimation of Generators in Credit Risk. Quantitative Finance 18(6):983-1001, 2018
G. dos Reis, M. Pfeuffer, G. Smith: Capturing Rating Momentum in the Estimation of Probabilities of Default, With Application to Credit Rating Migrations (In Preparation), 2018
data(tm_abs)
## Maximum Likelihood Generator Matrix Estimate
gm0=matrix(1,8,8)
diag(gm0)=0
diag(gm0)=-rowSums(gm0)
gm0[8,]=0
gmem=gm(tm_abs,te=1,method="EM",gmguess=gm0)
## Oakes Confidence Interval
ciem=gmci(gmem,alpha=0.05)
ciem
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