ListarModelización, Optimización e Inferencia Estadística (MODES) por tema "probability of default"
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Nonparametric estimation of the probability of default with double smoothing
(Institut d'Estadistica de Catalunya, 2021)[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 ...