Thanks everyone for your input, this is my first time using this community, really impressed with how quick you all are! 1) Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation - Bill Huajian Yang (https://www.risk.net/journal-of-risk-model-validation/5587081/smoothing-algorithms-by-constrained-maximum-likelihood-methodologies-and-implementations-for-comprehensive-capital-analysis-and-review-stress-testing-and-international-financial-reporting-standard-9-expected). There is a sentence "These algorithms can be implemented by a modeler using, for example, the SAS PROC NLMIXED package." 2) I do not have IML available, only datastep 3) These are the counts of transitions; I will produce the % transitions using the processed count matrices.
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