In this paper, we develop a fast algorithm for a smoothing spline estimator in multivariate regression. To accomplish this, we employ general concepts associated with roughness penalty methods in conjunction with the theory of radial basis functions and reproducing kernel Hilbert spaces. It is...

A simple graphical approach to presenting results from nonlinear regression models is described. In the face of multiple covariates, ‘partial mean’ plots may be unattractive. The approach here is portable to a variety of settings and can be tailored to the specific application at hand. A...

The question of whether empirical models are able to forecast the equity premium more accurately than the simple historical mean is intensively debated in the nancial literature. The low prediction power is disappointing, even when using nonparametric models that make use of typical predictor...