Search Results - subject:"Multivariate linear regression"

Gravity modeling in social science : the case of the commuting phenomenon in Greece

Tsiotas, Dimitrios; Aspridēs, Geōrgios M.; … - In: Evolutionary and institutional economics review 16 (2019) 1, pp. 139-158

Persistent link: https://www.econbiz.de/10012034588

Applications of SVR-PSO Model and Multivariate Linear Regression Model in PM2.5 Concentration Forecasting

Fan, Guo-Feng; Liang, Meng-Qi; Li, Jing-Ru; Ma, Wen-Lu - In: International Journal of Applied Evolutionary … 8 (2017) 4, pp. 53-69

linear regression (namely IMLR) model and support vector regression with particle swarm optimization algorithm (namely SVR … Network since 2015. The effective approaches to forecast PM2.5 concentration is proposed, i.e., the improved multivariate …

Persistent link: https://www.econbiz.de/10012042725

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown, and (ii) building confidence intervals for the zero-beta rate. On observing that this parameter may be weakly identified, we propose LR-type statistics as well as...

Persistent link: https://www.econbiz.de/10008835415

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 161-175

Persistent link: https://www.econbiz.de/10011691256

Performance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche

Aboul-Enein, Shady; Dionne, Georges; Papageorgiou, Nicolas - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

This article examines the performance of the junior tranche of a Collateralized Fund Obligation (CFO), i.e. the residual claim (equity) on a securitized portfolio of hedge funds. We use a polynomial goal programming model to create optimal portfolios of hedge funds, conditional to investor...

Persistent link: https://www.econbiz.de/10008528556

Does company green score affect stock price?

Prober, Larry; Meriç, İlhan; Meriç, Gülser - In: Review of business & finance studies : RBFS 6 (2015) 3, pp. 11-19

Persistent link: https://www.econbiz.de/10011289129

Lasso penalized model selection criteria for high-dimensional multivariate linear regression analysis

Katayama, Shota; Imori, Shinpei - In: Journal of Multivariate Analysis 132 (2014) C, pp. 138-150

-dimensional multivariate linear regression analysis. The proposed criteria are based on a Lasso type penalized likelihood function to allow the …

Persistent link: https://www.econbiz.de/10010939517

Consistency of high-dimensional AIC-type and Cp-type criteria in multivariate linear regression

Fujikoshi, Yasunori; Sakurai, Tetsuro; Yanagihara, Hirokazu - In: Journal of Multivariate Analysis 123 (2014) C, pp. 184-200

The AIC, the multivariate Cp and their modifications have been proposed for multivariate linear regression models under …

Persistent link: https://www.econbiz.de/10011042055

Pre-launch new product demand forecasting using the Bass model : a statistical and machine learning-based approach

Lee, Hakyeon; Kim, Sang-gook; Park, Hyun-woo; Kang, Pilsung - In: Technological forecasting & social change : an … 86 (2014), pp. 49-64

Persistent link: https://www.econbiz.de/10010479686

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244