Smooth estimation of rating transitions by nearest neighbors

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.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.identifier.uri	http://hdl.handle.net/2003/27574
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-8667
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

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