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Hansjörg Albrecher, Martin Bladt and Alaric J. A. Müller

Penalised likelihood methods for phase-type dimension selection

Published in: Statistics & risk modeling : with applications in finance and insurance 39, 3-4, 2022

Title

Penalised likelihood methods for phase-type dimension selection

Involved 

Hansjörg Albrecher (Verfasser)
Martin Bladt (Verfasser)
Alaric J. A. Müller (Verfasser)

Published in

Statistics & risk modeling : with applications in finance and insurance 39, 3-4, 2022, Seite 75-92

Published

27.10.2022

Language

Englisch

Country

Deutschland

Subject

Phase-type distributions
maximum likelihood estimation
dimension selection
transformation via rewards
60-08

Persistent identifier

urn:nbn:de:101:1-2022110413115766433732 (URN)
10.1515/strm-2021-0026 (DOI)

Record ID

1272006085
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