the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...

Bagging (bootstrap aggregating) is a smoothing method to improve predictive ability under the presence of parameter estimation uncertainty and model uncertainty. In Lee and Yang (2006), we examined how (equal-weighted and BMA-weighted) bagging works for onestep ahead binary prediction with an asymmetric cost function for time series, where we considered simple cases with particular choices of a...

The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...

A general notion of a bootstrapped mean constructed by exchangeably weighting sample points is introduced. Consistency of this generalized bootstrapped mean, which includes proposals of Efron and Rubin among others, is proved by classical linear rank statistics theory. The consistency of generalized bootstrapped empirical and quantile processes is also established.

background: poverty and low socioeconomic status are the most important reasons of increasing the global burden of tuberculosis, not only in developing countries but also in developed countries for particular groups. the purpose of this study was to assess the association between socioeconomic factors and the number of tuberculosis patients using quantile regression for count data.   methods: t...

Nonparametric variance estimation for the distortion risk measure can be readily done through the bootstrap or the nonparametric delta method based on the influence function. The same task for the bootstrapped risk measures, however, has been relatively unexplored in the literature. In this paper we analytically derive the influence function of the exactly bootstrapped quantile and later extend...

aim : to determine the associated factors of reflux duration, using quantile regression model. background : reflux is one of the most prevalent gastrointestinal disorders.  statistical tools are widely used to assess the associated factors on reflux severity and frequency. patients and methods : a door to door questionnaire has been used to evaluate gastrointestinal symptoms including reflux an...

Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the upper and lower tails. This paper develops a theory of quantile regression in the tails. Specifically , it obtains the large sample properties of extremal (ext...