A non-default fraction bivariate regression model for credit scoring: An application to Brazilian customer data

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MetadadosDescriçãoIdioma
Autor(es): dc.contributorUniversidade de São Paulo (USP)-
Autor(es): dc.contributorUniversidade Estadual Paulista (UNESP)-
Autor(es): dc.creatorCancho, Vicente G.-
Autor(es): dc.creatorSuzuki, Adriano K.-
Autor(es): dc.creatorBarriga, Gladys D. C. [UNESP]-
Autor(es): dc.creatorLouzada, Francisco-
Data de aceite: dc.date.accessioned2022-08-04T22:06:45Z-
Data de disponibilização: dc.date.available2022-08-04T22:06:45Z-
Data de envio: dc.date.issued2022-04-28-
Data de envio: dc.date.issued2022-04-28-
Data de envio: dc.date.issued2016-04-02-
Fonte completa do material: dc.identifierhttp://dx.doi.org/10.1080/23737484.2016.1243456-
Fonte completa do material: dc.identifierhttp://hdl.handle.net/11449/220953-
Fonte: dc.identifier.urihttp://educapes.capes.gov.br/handle/11449/220953-
Descrição: dc.descriptionIn this article, we propose a lifetime model for bivariate survival data with a non-default rate. Our approach enables different underlying activation mechanisms that lead to the event of interest. A number of competing causes which may be responsible for the occurrence of the event of interest are assumed to follow a Poisson distributions, and a positive stable distribution was considered for the frailty component. The Markov chain Monte Carlo (MCMC) method is used in Bayesian inference approach and some Bayesian criteria are used for a comparison. Moreover, we conduct the influence diagnostic through the diagnostic measures in order to detect possible influential or extreme observations that can cause distortions on the results of the analysis. The proposed models are applied to analyze a Brazilian customer data set.-
Descrição: dc.descriptionDepartment of Applied Mathematics and Statistics University of São Paulo-
Descrição: dc.descriptionFaculty of Engineering at Bauru São Paulo State University-
Descrição: dc.descriptionFaculty of Engineering at Bauru São Paulo State University-
Formato: dc.format1-12-
Idioma: dc.languageen-
Relação: dc.relationCommunications in Statistics Case Studies Data Analysis and Applications-
???dc.source???: dc.sourceScopus-
Palavras-chave: dc.subjectBivariate non-default rate models-
Palavras-chave: dc.subjectcompeting risks-
Palavras-chave: dc.subjectcured fraction-
Palavras-chave: dc.subjectlong-term survival models-
Título: dc.titleA non-default fraction bivariate regression model for credit scoring: An application to Brazilian customer data-
Tipo de arquivo: dc.typelivro digital-
Aparece nas coleções:Repositório Institucional - Unesp

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