topic HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION in Statistical Procedures

HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

fluud_nozzle — Tue, 11 Sep 2018 00:05:25 GMT

I have the next information:

I have 5 products, Credit Card, Personal Loan, Mortgage, Auto Loan and Credit Line
I have the vintage, i.e. the date of openning for every customer and for every product for the last 6 months
I have the information if the product is active or not
The information is for every customer
The information is in a database as follows:

IDCUSTOMER INCOME VINTAGE_AUTO VINTAGE_TDC VINTAGE_SPL VINTAGE_MTG VINTAGE_SL

123456 $123456.00 200606 . . 201106 .

123457 $145.00 . 200001 200012 . .

and so on, i.e., if the customer do not have certain product then there is not going to be information about that product.

I want to predict if the customer obtain e.g. a Creditc Card, which is the probability of keeping the credit card, obtain another credit card or choose another product.

I've beeing reading for proc IML but I can't run that proc.

Please help me to do that, or maybe I need some other information.

Re: HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

Rick_SAS — Tue, 11 Sep 2018 13:56:39 GMT

To clarify, it sounds like you have read the article "Markov transition matrices in SAS/IML" (or maybe this SAS Global Forum paper) and those articles do what want, but you do not have access to SAS/IML software? Is that correct?

The documentation for the STATESPACE procedure in SAS/ETS indicates that it can estimate a transition matrix for the data and use it for predictions. Do you have access to SAS/ETS software? If so, I will move this thread to the Forecasting Community.

Re: HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

fluud_nozzle — Tue, 11 Sep 2018 15:38:50 GMT

That is correct, I've beeing reading "Markov transition matrices in SAS/IML" but I don't have acces to SAS/IML, on the other hand, I have not accesos to SAS/ETS, only to SAS Entrerprise Guide.

I'll love your help.

Re: HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

Rick_SAS — Tue, 11 Sep 2018 15:49:08 GMT

Sorry, but I have no further suggestions. If all you need is the steady-state vector, I suppose you could program the matrix iteration in FCMP, but most analyses of Markov chains also use eigenvalues, matrix inverses, and other techniques in numerical linear algebra.

Re: HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

fluud_nozzle — Tue, 11 Sep 2018 15:55:31 GMT

How is the program ot the matrix iteration in FCMP (what does FCMP means?)