Lee, Tae-Hwy; Tu, Yundong; Ullah, Aman - Department of Economics, University of California-Riverside - 2014
such positivity constraint in local historical average (LHA) in nonparametric kernel regression framework. It is also … constraint (zero for the positivity constraint). We smooth the indicator function by bagging (Breiman 1996a), which operates as … the local positivity constraint can improve out-of-sample prediction of the equity premium. …
