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On the structure of the stochastic process of mortgages in Spain

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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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Authors and Affiliations

  1. Department of Statistics and Operational Research, University of Granada, 18071, Spain

    P. R. Bouzas, A. M. Aguilera & M. J. Valderrama

  2. Department of Statistics and Operational Research, University of Jaén, 23071, Spain

    N. Ruiz-Fuentes

Authors
  1. P. R. Bouzas
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  2. A. M. Aguilera
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  3. M. J. Valderrama
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  4. N. Ruiz-Fuentes
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Bouzas, P.R., Aguilera, A.M., Valderrama, M.J. et al. On the structure of the stochastic process of mortgages in Spain. Computational Statistics 21, 73–89 (2006). https://doi.org/10.1007/s00180-006-0252-0

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  • DOI: https://doi.org/10.1007/s00180-006-0252-0

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