On the structure of the stochastic process of mortgages in Spain |
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| Authors: | P. R. Bouzas A. M. Aguilera M. J. Valderrama N. Ruiz-Fuentes |
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| Affiliation: | (1) Department of Statistics and Operational Research, University of Granada, 18071, Spain;(2) Department of Statistics and Operational Research, University of Jaén, 23071, Spain |
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| Abstract: | Summary 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. |
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| Keywords: | Doubly Stochastic Poisson Process Point Estimation Functional Principal Component Mortgages |
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