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~person:"Kauppi, Heikki"
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Kauppi, Heikki
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Recession Prediction with Optimal Use of Leading Indicators
Kauppi, Heikki
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2019
We use the gradient boosting estimation technique and the ROC curveto non-parametrically measure and exploit the maximal predictive powerof leading indicators for the future state of the business cycle. We de-velop novel procedures for finding the best performing transformationsof individual...
Persistent link: https://www.econbiz.de/10012503078
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The Generalized Receiver Operating Characteristic Curve
Kauppi, Heikki
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2016
The problem is to predict whether a random outcome is a "success" (R=1) or a "failure" (R=0) given a continuous variable Z. The performance of a prediction rule $D=D(Z)\in \{1,0\}$ boils down to two probabilities, beta =Pr (D=1
Persistent link: https://www.econbiz.de/10012503067
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