On the structure of the stochastic process of mortgages in Spain

Rodríguez Bouzas, Paula; Aguilera Del Pino, Ana María; Valderrama Bonnet, Mariano José; Ruiz-Fuentes, Nuria

doi:https://doi.org/10.1007/s00180-006-0252-0

PrePrint On the structure of the stochastic process of mortgages in Spain (590.9Ko)

Identificadores

URI: http://hdl.handle.net/10481/73052

DOI: https://doi.org/10.1007/s00180-006-0252-0

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Editorial

Springer

Materia

Doubly Stochastic Poisson Process

Point Estimation

Functional Principal Component

Mortgages

Date

2006-03-01

Referencia bibliográfica

Bouzas, P.R., Aguilera, A.M., Valderrama, M.J. et al. On the structure of the stochastic process of mortgages in Spain. Computational Statistics 21, 73–89 (2006). https://doi.org/10.1007/s00180-006-0252-0

Résumé

The number of mortgages in Spain is a counting process that can be modelled as a doubly stochastic Poisson process (DSPP). A modelling method for the intensity of a DSPP is proposed. A first step consists on estimating discrete sample paths of it from observed ones of the DSPP, then a continuous modelling is derived by means of Functional Principal Component Analysis. The method is validated by a simulation. Finally, it is applied to the real process of the mortgages in Spain discussing the interpretation of the principal components and factors.

Colecciones

FQM307 - Artículos

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