PREDICTING SHIFTS IN THE MEAN OF A MULTIVARIATE TIME-SERIES PROCESS - AN APPLICATION IN PREDICTING BUSINESS FAILURES

• 成果类型: Article
• 署名作者: THEODOSSIOU, PT
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.2307/2290323
• 发表日期: 1993
• 页码: 441-449
• 关键词: turning-points; Cusum; tests

摘要

A firm in the early stages of financial distress exhibits characteristics different from those of healthy firms. As the economic condition of a firm worsens, its financial characteristics shift toward those of failed firms. Practitioners in the financial sector have long been interested in the early detection of a firm's slide toward insolvency. Several models have been developed with this purpose in mind, but these older models are static in nature. Therefore, a need exists for the development of business failure prediction models that assess the financial condition of firms sequentially over time. This article addresses this need by presenting a sequential business failure prediction model.