A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model

Chew Chua, Guay Lim and Penelope Smith

Melbourne Institute Working Paper Series from Melbourne Institute of Applied Economic and Social Research, The University of Melbourne

Abstract: This paper provides a Bayesian approach to inference on a multi-state latent factor intensity model to manage the problem of highly analytically intractable pdfs. The sampling algorithm used to obtain posterior distributions of the model parameters includes a particle filter step and a Metropolis-Hastings step within a Gibbs sampler. A simulated example is conducted to show the feasibility and accuracy of this sampling algorithm. The approach is applied to the case of credit ratings transition matrices.

Pages: 20 pages
Date: 2008-08
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:iae:iaewps:wp2008n16

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