Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297778 
Year of Publication: 
2023
Series/Report no.: 
Serie Documentos de Trabajo No. 849
Publisher: 
Universidad del Centro de Estudios Macroeconómicos de Argentina (UCEMA), Buenos Aires
Abstract: 
The goal of this document is to present a methodology for estimating probabilities for ordered sets. This may have several practical applications such as calibration of Rating Models, estimation of Mortality Tables or measurement of side effects related to different doze sizes. In order to do this, an Objective / Non Informative Bayesian approach is applied, through which, using a multidimensional Jeffreys prior, a posterior distribution may be inferred for each of the probabilities being estimated.
Subjects: 
Bayesian estimation
probability estimation
uninformative prior
rating calibration
low default,ordered sets
jeffreys prior
Document Type: 
Working Paper

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