Open Markov chain scheme models fed by second order stationary and non-stationary processes

Gracinda Rita Diogo Guerreiro; Manuel Leote Esquível; José Moniz Fernandes

Open Markov chain scheme models fed by second order stationary and non-stationary processes

Gracinda Rita Diogo Guerreiro, Manuel Leote Esquível, José Moniz Fernandes

Research output: Contribution to journal › Article › peer-review

Abstract

We introduce a schematic formalism for the time evolution of a random open population divided into classes.
With a Markov chain model, allowing for population entrances, we consider the flow of incoming members modeled by a time series - either ARIMA for the number of new
incomings or SARMA for the residuals of a deterministic sigmoid type trend - and we detail the time series structure of the elements in each class.
A practical application to real data from a credit portfolio is presented.

Original language	English
Pages (from-to)	277-297
Number of pages	21
Journal	REVSTAT: Statistical Journal
Volume	15
Issue number	2
Publication status	Published - 2017

Keywords

Markov chains
Open Markov chain models
Second order processes
ARIMA
SARMA
Credit Risk

Cite this

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title = "Open Markov chain scheme models fed by second order stationary and non-stationary processes",

abstract = "We introduce a schematic formalism for the time evolution of a random open population divided into classes.With a Markov chain model, allowing for population entrances, we consider the flow of incoming members modeled by a time series - either ARIMA for the number of newincomings or SARMA for the residuals of a deterministic sigmoid type trend - and we detail the time series structure of the elements in each class.A practical application to real data from a credit portfolio is presented.",

keywords = "Markov chains, Open Markov chain models, Second order processes, ARIMA, SARMA, Credit Risk",

author = "Guerreiro, {Gracinda Rita Diogo} and Esqu{\'i}vel, {Manuel Leote} and Fernandes, {Jos{\'e} Moniz}",

note = "Fundacao para a Ciencia e a Tecnologia - UID/MAT/00297/2013 ",

year = "2017",

language = "English",

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journal = "REVSTAT: Statistical Journal",

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T1 - Open Markov chain scheme models fed by second order stationary and non-stationary processes

AU - Guerreiro, Gracinda Rita Diogo

AU - Esquível, Manuel Leote

AU - Fernandes, José Moniz

N1 - Fundacao para a Ciencia e a Tecnologia - UID/MAT/00297/2013

PY - 2017

Y1 - 2017

N2 - We introduce a schematic formalism for the time evolution of a random open population divided into classes.With a Markov chain model, allowing for population entrances, we consider the flow of incoming members modeled by a time series - either ARIMA for the number of newincomings or SARMA for the residuals of a deterministic sigmoid type trend - and we detail the time series structure of the elements in each class.A practical application to real data from a credit portfolio is presented.

AB - We introduce a schematic formalism for the time evolution of a random open population divided into classes.With a Markov chain model, allowing for population entrances, we consider the flow of incoming members modeled by a time series - either ARIMA for the number of newincomings or SARMA for the residuals of a deterministic sigmoid type trend - and we detail the time series structure of the elements in each class.A practical application to real data from a credit portfolio is presented.

KW - Markov chains

KW - Open Markov chain models

KW - Second order processes

KW - ARIMA

KW - SARMA

KW - Credit Risk

UR - https://www.ine.pt/revstat/pdf/rs170206.pdf

M3 - Article

SN - 1645-6726

VL - 15

SP - 277

EP - 297

JO - REVSTAT: Statistical Journal

JF - REVSTAT: Statistical Journal

IS - 2

ER -

Open Markov chain scheme models fed by second order stationary and non-stationary processes

Abstract

Keywords

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