A likelihood ratio test for stationarity of rating transitions
评级迁移时间平稳性的似然比检验
We study the time-stationarity of rating transitions, modelled by a time-continuous discrete-state Markov process and derive a likelihood ratio test. For multiple Markov processes from a multiplicative intensity model, maximum likelihood parameter estimates can be written as martingale transform of the processes, counting transitions between the rating states, so that the profile partial likelihood ratio is asymptotically [chi]2-distributed. An application to an internal…