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omerozsutcu
‎09-29-2022
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Re: How can I fit Weibull Distribution on Cumulative Default Rates?

by Calcite | Level 5 in Statistical Procedures
‎09-29-2022 08:17 AM
‎09-29-2022 08:17 AM
Dear Jade, Thanks a lot for the answer. I understand the logic but I have some questions. Is there any method that I do not require to set initial parameters? Second, Even though I change the parameters, the estimates does not change significantly. For instance better rating customers may have worse DR in the long run than worse ratings. Can I solve this problem using Proc NLIN? ... View more

How can I fit Weibull Distribution on Cumulative Default Rates?

by Calcite | Level 5 in Statistical Procedures
‎08-19-2022 05:09 AM
‎08-19-2022 05:09 AM
Hello,   I have a data that contains 5 years Cumulative DR. I want to forecast following 10 years using Weibull Distribution. I checked several articles and tried some solutions ( How to fit my data to Gamma,  Weibull and Lognomal distributions?,) but I could not find solution for DR's.  I tried creating polynomial  trend but got feedback that I should be using Weibull Distribution.  I have shared a part of my data. Any help greatly appreciated ?       ... View more
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