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

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)277-297
Number of pages21
JournalRevstat-Statistical Journal
Volume15
Issue number2
Publication statusPublished - 2017

Keywords

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

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