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\name{gmci}
\alias{gmci}
\title{
Confidence / Credibility Intervals for Generator Matrix Objects
}
\description{
Generic function to derive confidence / credibility intervals for "EM" or "GS" based generator matrix objects
}
\usage{
gmci(gm, alpha, ...)
}
\arguments{
\item{gm}{
a "EM" or "GS" generator matrix object
}
\item{alpha}{
significance level
}
\item{...}{additional arguments:
\itemize{
\item{eps:}{
threshold for which generator matrix parameters are assumed to be fixed at zero (if "EM" object)
}
\item{cimethod:}{
"Direct" and "SdR" use analytical expressions of the Fisher information matrix, "BS" employs the numerical approach of Bladt and Soerensen, 2009 (if "EM" object)
}
\item{expmethod:}{
method to compute matrix exponentials (see \code{?expm} from \code{expm} package for more information)
}
}
}
}
\details{
If gm is based on the "EM" method (expectation-maximization algorithm), the function computes a Wald confidence interval based on the method of Oakes, 1999. IF gm is based on the "GS" method (Gibbs sampler), the function computes an equal-tailed credibility interval.
}
\references{
M. Bladt and M. Soerensen. Efficient Estimation of Transition Rates Between Credit Ratings from Observations at Discrete Time Points. Quantitative Finance, 9(2):147-160, 2009
D. Oakes. Direct calculation of the information matrix via the EM algorithm. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 61(2):479-482, 1999
G. Smith and G. dos Reis. Robust and Consistent Estimation of Generators in Credit Risk. Quantitative Finance 18(6):983-1001, 2018
G. dos Reis, M. Pfeuffer, G. Smith: Capturing Rating Momentum in the Estimation of Probabilities of Default, With Application to Credit Rating Migrations (In Preparation), 2018
}
\author{
Marius Pfeuffer
}
\examples{
\dontrun{
data(tm_abs)
## Maximum Likelihood Generator Matrix Estimate
gm0=matrix(1,8,8)
diag(gm0)=0
diag(gm0)=-rowSums(gm0)
gm0[8,]=0
gmem=gm(tm_abs,te=1,method="EM",gmguess=gm0)
## Oakes Confidence Interval
ciem=gmci(gmem,alpha=0.05)
ciem
}
}
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