Nonparametric probability of default estimation in presence of cure fraction.
Rebeca PeláezIngrid Van KeilegomRicardo CaoJuan Manuel VilarPublished in: XoveTIC (2022)
Keyphrases
- nonparametric regression
- parzen window
- probability distribution
- density estimation
- kernel density estimation
- parametric models
- early stage
- data driven
- estimation error
- databases
- accurate estimation
- monte carlo simulation
- robust estimation
- maximum likelihood estimation
- estimation algorithm
- posterior probability
- conditional probabilities
- feature selection