This paper presents a regression procedure for inhomogeneous data characterized by varying variance, skewness and kurtosis or by an unequal amount of data over the estimation domain. The concept is based first on the estimation of the densities of an observed variable for given values of...

In mortgage default modeling, many of the key variables, such as loan age, FICO score, Debt-to-Income Ratio (DTI), and Loan-to-House-Value Ratio (LTV), have nonlinear relationship with the target default/delinquency rates. To catch the nonlinearity in the response function, experienced modelers...