Robust analysis of default intensity

Computational Statistics and Data Analysis

Volumn 56, Issue 11, 2012, Pages 3276-3285

  Bellini, Tiziano ^a   Riani, Marco ^a  

^a UNIVERSITY OF PARMA   (Italy)

Author keywords

Forward search; Kalman filter; Outlier; Term structure of default intensity

Indexed keywords

AUTOMATIC DETECTION; CIR MODEL; CONFIDENCE INTERVAL; CREDIT MODEL; CREDIT SPREAD; ESTIMATED PARAMETER; FORWARD SEARCH; KALMAN FILTER ALGORITHMS; MULTIVARIATE OUTLIER DETECTION; MULTIVARIATE TIME SERIES; OUTLIER; REAL MARKETS; ROBUST ANALYSIS; ROBUST ESTIMATION; TERM STRUCTURE;

KALMAN FILTERS; TIME SERIES;

ESTIMATION;

EID: 80052729228     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2011.03.007     Document Type: Article

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