We propose a method for reconstructing a probability density function (pdf) from a sample of an n-dimensional probability distribution. The method works by iteratively applying some simple ...

Nonparametric methods provide a flexible framework for estimating the probability density function of random variables without imposing a strict parametric model. By relying directly on observed data, ...

Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...