• 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 Bandwidth Selection and Confidence Regions for Double Smoothed Default Probability Estimation 

      Peláez, Rebeca; Cao, Ricardo; Vilar, Juan M. (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 ...
    • Comments on: Nonparametric estimation in mixture cure models with covariates 

      Cao, Ricardo (Springer Science and Business Media Deutschland GmbH, 2023)
      [Abstract]: This paper discusses the invited paper by López-Cheda, Peng and Jácome on nonparametric mixture cure models with covariates. An alternative estimation procedure is proposed in this context. The situation when ...
    • Cure models to estimate time until hospitalization due to COVID-19 

      Pedrosa-Laza, Maria; López-Cheda, Ana; Cao, Ricardo (Springer Nature, 2022-01)
      [Abstract]: A short introduction to survival analysis and censored data is included in this paper. A thorough literature review in the field of cure models has been done. An overview on the most important and recent ...
    • Nonparametric covariate hypothesis tests for the cure rate in mixture cure models 

      López-Cheda, Ana; Jácome, M. A.; Keilegom, Ingrid Van; Cao, Ricardo (John Wiley & Sons, 2020-06)
      [Abstract]: In lifetime data, like cancer studies, there may be long term survivors, which lead to heavy censoring at the end of the follow-up period. Since a standard survival model is not appropriate to handle these data, ...
    • Nonparametric Estimation in Mixture Cure Models with Covariates 

      López-Cheda, Ana; Peng, Yingwei; Jácome, M. A. (Springer Nature, 2023-05-17)
      [Abstract] Nonparametric estimation methods for the cure rate and the distribution of the failure time of uncured subjects with covariates for censored survival data have attracted much attention in the last few years. To ...
    • Nonparametric incidence estimation and bootstrap bandwidth selection in mixture cure models 

      López-Cheda, Ana; Cao, Ricardo; Jácome, M. A.; Keilegom, Ingrid Van (Elsevier, 2017-01)
      [Abstract]: A completely nonparametric method for the estimation of mixture cure models is proposed. A nonparametric estimator of the incidence is extensively studied and a nonparametric estimator of the latency is presented. ...
    • Nonparametric Inference in Mixture Cure Models 

      López-Cheda, Ana; Cao, Ricardo; Jácome, M. A.; Keilegom, Ingrid Van (MDPI, 2018-09)
      [Abstract]: A completely nonparametric method for the estimation of mixture cure models is proposed. Nonparametric estimators for the cure probability (incidence) and for the survival function of the uncured population ...
    • Nonparametric latency estimation for mixture cure models 

      López-Cheda, Ana; Jácome, M. A.; Cao, Ricardo (Springer Nature, 2017-06)
      [Abstract]: A nonparametric latency estimator for mixture cure models is studied in this paper. An i.i.d. representation is obtained, the asymptotic mean squared error of the latency estimator is found, and its asymptotic ...
    • On the Reliability of Machine Learning Models for Survival Analysis When Cure Is a Possibility 

      Ezquerro, Ana; Cancela, Brais; López-Cheda, Ana (MDPI, 2023-10-02)
      [Abstract]: In classical survival analysis, it is assumed that all the individuals will experience the event of interest. However, if there is a proportion of subjects who will never experience the event, then a standard ...
    • Probability of default estimation in credit risk using mixture cure models 

      Peláez, Rebeca; Keilegom, Ingrid Van; Cao, Ricardo; Vilar, Juan M. (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 ...
    • Rejoinder on: Nonparametric estimation in mixture cure models with covariates 

      López-Cheda, Ana; Peng, Yingwei; Jácome, M. A. (Springer Nature, 2023-06)
      [Abstract]: We thank all discussants for their insightful comments on our paper [López-Cheda, A., Peng, Y. & Jácome, M.A. Nonparametric estimation in mixture cure models with covariates. TEST 32, 467–495 (2023). ...