Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 73, No. 5 (NOVEMBER 2011), pp. 711-728 (18 pages) The paper addresses a 'large p-small n' problem in a time series ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...
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