Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...

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 ...

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.