Nonparametric estimation of the probability of default with double smoothing

  1. Rebeca Peláez 1
  2. Ricardo Cao 1
  3. Juan M. Vilar 1
  1. 1 Universidade da Coruña
    info

    Universidade da Coruña

    La Coruña, España

    ROR https://ror.org/01qckj285

Journal:
Sort: Statistics and Operations Research Transactions

ISSN: 1696-2281

Year of publication: 2021

Volume: 45

Issue: 2

Pages: 93-120

Type: Article

DOI: 10.2436/20.8080.02.111 DIALNET GOOGLE SCHOLAR lock_openOpen access editor

More publications in: Sort: Statistics and Operations Research Transactions

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 double smoothing, on the covariate and on the variable of interest. An empirical study, based on modified real data, illustrates its practical application and a simulation study shows the performance of the proposed estimator and compares its behaviour with smoothed estimators only in the covariate. Asymptotic expressions for the bias and the variance of the probability of default estimator are found and asymptotic normality is proved.

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