Listar GI-MODES - Congresos, conferencias, etc. por autor "Vilar, Juan M."

Mostrando ítems 1-2 de 2

    • A Doubly Smoothed PD Estimator in Credit Risk 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (MDPI AG, 2020-09-01)
      [Abstract] In this work a doubly smoothed probability of default (PD) estimator is proposed based on a smoothed version of the survival Beran’s estimator. The asymptotic properties of both the smoothed survival and PD ...

    • Bootstrap Selector for the Smoothing Parameter of Beran’s Estimator 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (MDPI, 2021)
      [Abstract] This work proposes a resampling technique to approximate the smoothing parameter of Beran’s estimator. It is based on resampling by the smoothed bootstrap and minimising the bootstrap approximation of the mean ...