Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...

For multivariate nonparametric regression models, existing variable selection methods with penalization require high-dimensional nonparametric approximations in objective functions. When the dimension is high, none of methods with penalization in the literature are readily available. Also,...

Motivated by increment process modeling for two correlated random and non-random systems from a discrete-time asset pricing with both risk free asset and risky security, we propose a class of semiparametric regressions for a combination of a non-random and a random system. Unlike classical...