A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
Year of publication: |
2011
|
---|---|
Authors: | Blöchlinger, Andreas ; Leippold, Markus |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 57.2011, 3, p. 487-505
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | out-of-sample validation | probability calibration | Hosmer-Lemeshow statistic | Bernoulli mixture models | credit risk |
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