On the maximum likelihood estimation of a discrete, finite support distribution under left-truncation and competing risks

DOI10.1016/J.SPL.2023.109973MaRDI QIDQ6540870zbMATH OpenFDO

Authors Jackson P. Lautier, V. Pozdnyakov, Jun Yan

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2023.109973

zbMATH Keywords

asset-backed securityasset-level disclosuresconvexityReg AB IIreverse hazard ratesecuritization

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites work

• Competing risks analysis for discrete time-to-event data
• Estimating a distribution function with truncated data
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• Nonparametric estimation from proportional hazards competing risks data under selection bias
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• Nonparametric inference under competing risks and selection-biased sampling
• Nonparametric Maximum Likelihood Estimation for Competing Risks Survival Data Subject to Interval Censoring and Truncation
• Pricing time-to-event contingent cash flows: a discrete-time survival analysis approach
• Product limit estimates: a generalized maximum likelihood study
• Random truncation models and Markov processes

Cited in

(2)

• On the convergence of credit risk in current consumer automobile loans
• Estimating the time-to-event distribution for loan-level data within a consumer auto loan asset-backed security

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