Authors: Krämer, Walter
Poniatowski, Wladyslaw
Weißbach, Rafael
Title: Smooth estimation of rating transitions by nearest neighbors
Other Titles: Consistency and Application
Language (ISO): en
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
Subject Headings: Hazard rate
Kernel smoothing
Left-truncation
Right-censoring
URI: http://hdl.handle.net/2003/27574
http://dx.doi.org/10.17877/DE290R-8667
Issue Date: 2011-01-18
Appears in Collections:Sonderforschungsbereich (SFB) 823

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