Listar GI-MODES - Congresos, conferencias, etc. por autor "Vilar, Juan M."
Mostrando ítems 1-2 de 2
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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 ...