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Generalized single-index models are natural extensions of linear models and circumvent the so-called curse of dimensionality. They are becoming increasingly popular in many scientific fields including biostatistics, medicine, economics and finan- cial econometrics. Estimating and testing the...
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number of steps. We stress that as opposite to the backward induction, in each step the procedure delivers an approximation … discretization becomes flner and determine the rate of convergence. 3.1. In order to construct an approximation for the equation (2 … expression (2.21), let us deflne the approximation bVn(t + u;x) for the price V(t+u;x) as a solution of the equation: bVn …
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SFB 649 Discussion Paper 2007-035 Estimating Probabilities of Default With Support Vector Machines Wolfgang Härdle* Rouslan Moro** Dorothea Schäfer*** * Humboldt-Universität zu Berlin, Germany ** Humboldt-Universität zu Berlin & DIW Berlin, Germany *** DIW...
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