We describe a computational procedure for evaluating the quasi-stationary distributions of a continuous-time Markov chain. Our method, which is an 'iterative version' of Arnoldi's algorithm, is ...
Journal of Applied Probability, Vol. 58, No. 1 (MARCH 2021), pp. 177-196 (20 pages) We consider a strictly substochastic matrix or a stochastic matrix with absorbing states. By using quasi-stationary ...
In this study, real-life retail mortgage loan data from a Chinese national commercial bank is used to generate the projected distribution over a set of predefined mortgage states or categories.
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