Showing 1 - 10 of 234
In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a...
Persistent link: https://www.econbiz.de/10009216894
In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...
Persistent link: https://www.econbiz.de/10009216918
We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test...
Persistent link: https://www.econbiz.de/10009219814
The difference between the regression functions of two stationary conditional heteroskedastic autoregressive time series is tested. The functions can be equal, or shifted, under the null hypothesis. Local linear estimation of the regression function results in observable residuals. Bootstrap...
Persistent link: https://www.econbiz.de/10005172309
Various consistency proofs for the kernel density estimator have been developed over the last few decades. Important milestones are the pointwise consistency and almost sure uniform convergence with a fixed bandwidth on the one hand and the rate of convergence with a fixed or even a variable...
Persistent link: https://www.econbiz.de/10010981087
The time-continuous discrete-state Markov process is a model for rating transitions. One parameter, namely the intensity to migrate to an adjacent rating state, implies an ordinal rating to have an intuitive metric. State-specific intensities generalize the state-stationarity. Observing Markov...
Persistent link: https://www.econbiz.de/10010984930
We model credit rating histories as continuous-time discrete-state Markov processes. Infrequent monitoring of the debtors’ solvency will result in erroneous observations of the rating transition times, and consequently in biased parameter estimates. We develop a score test against such...
Persistent link: https://www.econbiz.de/10011052213
For a continuous-time Markov process, occasionally, only discrete-time observations are available. For a simple sample of homogeneous Markov jump processes with an absorbing state, observed each on a stochastic grid of time points, we establish asymptotic normality of the maximum likelihood...
Persistent link: https://www.econbiz.de/10011039869
Persistent link: https://www.econbiz.de/10010998613
For a continuous-time Markov process, commonly, only discrete-time observations are available. We analyze multiple observations of a homogeneous Markov jump process with an absorbing state. We establish consistency of the maximum likelihood estimator, as the number of Markov processes increases....
Persistent link: https://www.econbiz.de/10010998628