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R robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002
asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …
Persistent link: https://www.econbiz.de/10010310510
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R robustified additive nonparametric regression
Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - Sonderforschungsbereich 373, Quantifikation und … - 2002
asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …
Persistent link: https://www.econbiz.de/10010983510
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On a strategy to develop robust and simple tariffs from motor vehicle insurance data
Christmann, Andreas - 2004
nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …
Persistent link: https://www.econbiz.de/10010516923
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Does modeling lead to more accurate classification?: A study of relative efficiency in linear classification
Lee, Yoonkyung; Wang, Rui - In: Journal of Multivariate Analysis 133 (2015) C, pp. 232-250
discriminant analysis (LDA) under the normal setting, we contrast such algorithmic methods as the support vector machine (SVM) and … 60% for the SVM and 50% to 80% for boosting when compared to the LDA. However, a smooth variant of the SVM is shown to be … experiments under various settings for comparisons of finite-sample performance and robustness to mislabeling and model …
Persistent link: https://www.econbiz.de/10011116232
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Specification Testing for Multivariate Time Series Volatility Models
Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004
Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...
Persistent link: https://www.econbiz.de/10005342373
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On a strategy to develop robust and simple tariffs from motor vehicle insurance data
Christmann, Andreas - 2004
nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …
Persistent link: https://www.econbiz.de/10010306241
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On a strategy to develop robust and simple tariffs from motor vehicle insurance data
Christmann, Andreas - Institut für Wirtschafts- und Sozialstatistik, … - 2004
nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …
Persistent link: https://www.econbiz.de/10009295203
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Mixtures of g-priors for Bayesian model averaging with economic applications
Ley, Eduardo; Steel, Mark F. J. - Volkswirtschaftliche Fakultät, … - 2011
We examine the issue of variable selection in linear regression modeling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. In this context, Bayesian Model Averaging presents a formal Bayesian...
Persistent link: https://www.econbiz.de/10009650656
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Mixtures of g-priors for Bayesian model averaging with economic applications
Ley, Eduardo; Steel, Mark F. J. - Volkswirtschaftliche Fakultät, … - 2010
We examine the issue of variable selection in linear regression modeling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. Bayesian Model Averaging presents a formal Bayesian solution to...
Persistent link: https://www.econbiz.de/10008740557
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Minimum density power divergence estimator for GARCH models
Lee, Sangyeol; Song, Junmo - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 2, pp. 316-341
Persistent link: https://www.econbiz.de/10005004335