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Implement Kaplan-Meier estimator #14

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open-risk opened this issue Feb 10, 2021 · 0 comments
Open

Implement Kaplan-Meier estimator #14

open-risk opened this issue Feb 10, 2021 · 0 comments
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enhancement additional functionality

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@open-risk
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transitionMatrix has currently an implementation of the Aalen Johansen estimator. The Kaplan Meier estimator can be thought of a special case (in credit risk context default-only models) which is worthwhile to implement separately as there is a lot of additional functionality / heuristics available in this case.
@open-risk open-risk added the enhancement additional functionality label Feb 10, 2021
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