|Title:||A likelihood ratio test for stationarity of rating transitions|
|Abstract:||For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale transform of the processes counting transitions between the rating states. As a consequence, the profile partial likelihood ratio is asymptotically x^2-distributed. An internal rating data set reveals highly significant instationarity.|
|Subject Headings:||Counting process|
Multiple Markov process
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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