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Model error (or ambiguity) and its estimation, with particular application to loss reserving
Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28
approached by means of Bayesian model averaging, using the Bayesian interpretation of the LASSO. This is used to generate a set … posterior may turn out to be "thinner" than desired, and bootstrapping of the LASSO is used to increase this population. This …
Persistent link: https://www.econbiz.de/10014435599
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Macroeconomic forecasting using factor models and machine learning : an application to Japan
Maehashi, Kohei; Shintani, Mototsugu - 2020
Persistent link: https://www.econbiz.de/10013329759
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
high dimensional by construction and sparse by assumption, is estimated using the Lasso. We apply this method to the …
Persistent link: https://www.econbiz.de/10010532582
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A semiparametric Bayesian approach to a new dynamic zero-inflated model
Das, Kiranmoy; Pareek, Bhuvanesh; Brown, Sarah; Ghosh, Pulak - 2017
Persistent link: https://www.econbiz.de/10011631299
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A comparison of variables selection methods and their sequential application : a case study of the bankruptcy of Polish companies
Zanka, Mikhail - In: Folia oeconomica Stetinensia : FOS 20 (2020) 1, pp. 531-543
Persistent link: https://www.econbiz.de/10012628055
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Asset allocation under predictability and parameter uncertainty using LASSO
Rigamonti, Andrea; Weissensteiner, Alex - In: Computational management science 17 (2020) 2, pp. 179-201
Persistent link: https://www.econbiz.de/10012272060
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A two-stage Bayesian network model for corporate bankruptcy prediction
Cao, Yi; Liu, Xiaoquan; Zhai, Jia; Hua, Shan - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 455-472
Persistent link: https://www.econbiz.de/10012814601
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Regularized quantile regression averaging for probabilistic electricity price forecasting
Uniejewski, Bartosz; Weron, Rafał - In: Energy economics 95 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012816620
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Autoregressive random forests : machine learning and lag selection for financial research
Polyzos, Efstathios; Siriopoulos, Costas - In: Computational economics 64 (2024) 1, pp. 225-262
Persistent link: https://www.econbiz.de/10015078020
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Out-of-sample forecasting of foreign exchange rates : the band spectral regression and LASSO
Wada, Tatsuma - In: Journal of international money and finance 128 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013438380