Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Krämer, Walter | - |
dc.contributor.author | Poniatowski, Wladyslaw | - |
dc.contributor.author | Weißbach, Rafael | - |
dc.date.accessioned | 2011-01-18T14:20:13Z | - |
dc.date.available | 2011-01-18T14:20:13Z | - |
dc.date.issued | 2011-01-18 | - |
dc.identifier.uri | http://hdl.handle.net/2003/27574 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8667 | - |
dc.description.abstract | Many types of duration data suffer both from left-truncation and right-censoring. We show how these deficiencies can be overcome at the same time when estimating the hazard rate nonparametrically by kernel smoothing with the nearest neighbor method. We infer the uniform consistency of the estimate from the Hoeffding inequality, applied to a generalized empirical distribution function. Finally, we apply our estimator to rating transitions of corporate loans in Germany. JEL numbers; C14, C13, C24, C41, G24, G12 | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;02/2011 | - |
dc.subject | Hazard rate | en |
dc.subject | Kernel smoothing | en |
dc.subject | Left-truncation | en |
dc.subject | Right-censoring | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Smooth estimation of rating transitions by nearest neighbors | en |
dc.title.alternative | Consistency and Application | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_0211_SFB823_weißbach_poniatowski_krämer.pdf | DNB | 303.76 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org