Modeling Data with Multiple Time Dimensions

Breeden, J. L. (2007). Modeling Data with Multiple Time Dimensions. Computational Statistics & Data Analysis, 51(7), 3761-3775.

Type

Journal article

Intellectual base

Primary research

Year

2007

Volume

51

Issue

7

Pages

3761-3775

DOI

10.1016/j.csda.2007.02.014

DOI registrant

Elsevier

Link

https://doi.org/10.1016/j.csda.2007.02.014

Cited from

operations_research

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Batch Size
  • And vintage-year coupling in loan portfolios is the same coupling-of-fate that makes large software releases risky, yielding to the same intervention — split the batch when within-batch variance is heterogeneous.

    This sourceDevelops dual-time (vintage) dynamics for retail loan portfolios, treating each origination cohort (vintage) as subject to common calendar/macro shocks — the coupling-of-fate within a loan vintage that makes a cohort share default risk.

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