A new goodness-of-fit test for event forecasting and its application to credit defaults (Q3005698)
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scientific article; zbMATH DE number 5905836
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| English | A new goodness-of-fit test for event forecasting and its application to credit defaults |
scientific article; zbMATH DE number 5905836 |
Statements
A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults (English)
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9 June 2011
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out-of-sample validation
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probability calibration
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Hosmer-Lemeshow statistic
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Bernoulli mixture models
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credit risk
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0.7436411380767822
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0.7228654623031616
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0.7228654623031616
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0.7147880792617798
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0.6992787718772888
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