ListarGrupos de investigación por tema "Kernel method"
Mostrando ítems 1-3 de 3
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Bootstrap Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation
(MDPI, 2022)[Abstract] For a fixed time, t, and a horizon time, b, the probability of default (PD) measures the probability that an obligor, that has paid his/her credit until time t, runs into arrears not later that time t+b. This ... -
Computationally Efficient Bootstrap Expressions for Bandwidth Selection in Nonparametric Curve Estimation
(M D P I AG, 2018-09-17)[Abstract] Bootstrap methods are used for bandwidth selection in: (1) nonparametric kernel density estimation with dependent data (smoothed stationary bootstrap and smoothed moving blocks bootstrap), and (2) nonparametric ... -
Probability of default estimation in credit risk using mixture cure models
(Elsevier, 2024-01)[Abstract]: An estimator of the probability of default (PD) in credit risk is proposed. It is derived from a nonparametric conditional survival function estimator based on cure models. Asymptotic expressions for the bias ...