Predicting Shifts in the Mean of a Multivariate Time Series Process: An Application in Predicting Business Failures
本文提出一个序贯预测模型，通过跟踪企业财务特征随时间的变化，早期识别其走向破产的趋势，弥补了传统静态模型的不足。
Abstract 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.