Probabilistic model checking and Markov decision processes (MDPs) form two interlinked branches of formal analysis for systems operating under uncertainty. These techniques offer a mathematical ...
Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 68, No. 2 (2006), pp. 155-178 (24 pages) For a class of latent Markov models for discrete variables having a ...
In this paper we use Ching's multivariate Markov chain model to model the dependency of rating transitions of several credit entities. The model is an enhancement of the multivariate Markov chain ...
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