Analyze and Forecast Credit Migrations


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Documentation for package ‘RTransProb’ version 0.2.0

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data-package data
histData-package histData
predData_mnl-package predData_mnl
predData_svm-package predData_svm
cfdates Create Date Squence
cohort.CI Bootstrapped confidence intervals - Cohort
cohort.TTC Cohort - Data Weighting and "TTC" Calculation
data data
duration.CI Bootstrapped confidence intervals - Duration
duration.TTC Duration - Data Weighting and "TTC" Calculation
expandTransData Reshape Data to 'Wide' Data Format
fromThresholds Convert credit quality thresholds to probabilities.
getPIT Estimation of credit transition probabilities
histData histData
matlabToPOSIX Convert a numeric MATLAB datenum to R POSIXt time values
POSIXTomatlab Convert between MATLAB datenum and R POSIXt
predData_mnl predData_mnl
predData_svm predData_svm
toThresholds Convert probabilities to credit quality thresholds.
transForecast Forecast - using Credit Cycle
transForecast_lda Forecast - using Linear Discriminant Analysis
transForecast_mnl Forecast - using Multinomial Logistic Regression
transForecast_svm Forecast - using Support Vector Machines
TransitionProb Estimation of credit transition probabilities
transitionprobbytotals estimate of transition probabilities.
VecOfTransData Vector of Transition Counts