HOW TO BUILD A MARKOV CHAIN TRANSITION MATRIX FOR CREDIT INFORMATION

[fluud_nozzle]

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.

[Rick_SAS]

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.

[fluud_nozzle]

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.

[Rick_SAS]

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.

[fluud_nozzle]

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