Predicting Shifts in the Mean of a Multivariate Time Series Process: An Application in Predicting Business Failures
作者:
PanayiotisT. Theodossiou,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1993)
卷期:
Volume 88,
issue 422
页码: 441-449
ISSN:0162-1459
年代: 1993
DOI:10.1080/01621459.1993.10476294
出版商: Taylor & Francis Group
关键词: Bankruptcy prediction;Business failure prediction models;Discriminant analysis;Multivariate cumulative sum procedure;Sequential procedure;Serial correlation
数据来源: Taylor
摘要:
A firm in the early stages of financial distress exhibits characteristics different from those of healthy firms. As the economic condition of a firm worsens, its financial characteristics shift toward those of failed firms. Practitioners in the financial sector have long been interested in the early detection of a firm's slide toward insolvency. Several models have been developed with this purpose in mind, but these older models are static in nature. Therefore, a need exists for the development of business failure prediction models that assess the financial condition of firms sequentially over time. This article addresses this need by presenting a sequential business failure prediction model.
点击下载:
PDF (732KB)
返 回