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Nonparametric Inference in Mixture Cure Models
(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 ...
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 ...