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Nonparametric estimation of the probability of default with double smoothing
dc.contributor.author | Peláez, Rebeca | |
dc.contributor.author | Cao, Ricardo | |
dc.contributor.author | Vilar, Juan M. | |
dc.date.accessioned | 2024-06-28T08:32:13Z | |
dc.date.available | 2024-06-28T08:32:13Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. “Nonparametric estimation of the probability of default with double smoothing”. SORT-Statistics and Operations Research Transactions, 2021, Vol. 45, Num. 2, pp. 93-120, https://doi.org/10.2436/20.8080.02.111. | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/37538 | |
dc.description | From February 2013 articles are under a Creative Commons license: CC BY-NC-ND | es_ES |
dc.description.abstract | [Abstract]: In this paper, a general nonparametric estimator of the probability of default is proposed and studied. It is derived from an estimator of the conditional survival function for censored data obtained with a double smoothing, on the covariate and on the variable of interest. An empirical study, based on modified real data, illustrates its practical application and a simulation study shows the performance of the proposed estimator and compares its behaviour with smoothed estimators only in the covariate. Asymptotic expressions for the bias and the variance of the probability of default estimator are found and asymptotic normality is proved. | es_ES |
dc.description.sponsorship | This research has been supported by MINECO Grant MTM2017-82724-R, and by the Xunta de Galicia (Grupos de Referencia Competitiva ED431C-2016-015, ED431C-2020-14 and Centro Singular de Investigación de Galicia ED431G 2019/01), all of them through the ERDF. | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C-2016-015 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C-2020-14 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Institut d'Estadistica de Catalunya | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/MTM2017-82724-R/ES/INFERENCIA ESTADISTICA FLEXIBLE PARA DATOS COMPLEJOS DE GRAN VOLUMEN Y DE ALTA DIMENSION | es_ES |
dc.relation.uri | https://doi.org/10.2436/20.8080.02.111 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | censored data | es_ES |
dc.subject | kernel method | es_ES |
dc.subject | probability of default | es_ES |
dc.subject | risk analysis | es_ES |
dc.subject | urvival analysis | es_ES |
dc.title | Nonparametric estimation of the probability of default with double smoothing | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | SORT-Statistics and Operations Research Transactions | es_ES |
UDC.volume | 45 | es_ES |
UDC.issue | 2 | es_ES |
UDC.startPage | 93 | es_ES |
UDC.endPage | 120 | es_ES |
dc.identifier.doi | 10.2436/20.8080.02.111 |
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