caa a22 4500 605519811 CHVBK 20210128100732.0 cr unu---uuuuu 210128e20151201xx s 000 0 eng 10.1007/s11009-015-9437-8 doi (NATIONALLICENCE)springer-10.1007/s11009-015-9437-8 D'Amico Guglielmo Dipartimento di Farmacia, Università G. d'Annunzio, 66013, Chieti, Italy aut Rate of Occurrence of Failures (ROCOF) of Higher-Order for Markov Processes: Analysis, Inference and Application to Financial Credit Ratings [Elektronische Daten] [Guglielmo D'Amico] In this paper we consider the problem of defining rate of occurrence of failures of higher orders for a system whose states form a finite state Markov jump process. Firstly, we derive an explicit formula for evaluating the rate of occurrence of failures of higher order for the system. Secondly, we propose a nonparametric statistical estimator of this function and we discuss its asymptotic properties. The covariance matrix and the asymptotic variance are computed by using the technology of multidimensional matrices. Finally, we provide applications to the modeling of financial credit ratings. Springer Science+Business Media New York, 2015 Rocof estimation nationallicence Plug-in estimator nationallicence Credit ratings nationallicence Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/4(2015-12-01), 929-949 1387-5841 17:4<929 2015 17 11009 https://doi.org/10.1007/s11009-015-9437-8 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11009-015-9437-8 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- D'Amico Guglielmo Dipartimento di Farmacia, Università G. d'Annunzio, 66013, Chieti, Italy aut NATIONALLICENCE 773 0- Methodology and Computing in Applied Probability Springer US; http://www.springer-ny.com 17/4(2015-12-01), 929-949 1387-5841 17:4<929 2015 17 11009