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A Doubly Smoothed PD Estimator in Credit Risk
(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
(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 ...