## File: tmci.Rd

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r-cran-ctmcd 1.4.1-2
 1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950515253 \name{tmci} \alias{tmci} \title{ Delta Method Confidence Intervals for Matrix Exponential Transformations of Generator Matrix Objects } \description{ Generic function to derive delta method based confidence intervals for matrix exponential transformations of "EM" based generator matrix objects } \usage{ tmci(gmem, alpha, te, eps = 1e-04, expmethod = "PadeRBS") } \arguments{ \item{gmem}{ an "EM" generator matrix object } \item{alpha}{ significance level } \item{te}{ discrete time horizon for which the interval is supposed to be computed } \item{eps}{ threshold for which generator matrix parameters are assumed to be fixed at zero } \item{expmethod}{ method to compute matrix exponentials (see \code{?expm} from \code{expm} package for more information) } } \details{ Confidence intervals for discrete-time transition matrix predictions given generator matrix estimates are computed by using the delta method for matrix exponential transformations. } \references{ 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 } \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) ## 2.5 Year Transition Matrix Confidence Interval citm=tmci(gmem,alpha=0.05,te=2.5) citm } }