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R robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - 2002

asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …

Persistent link: https://www.econbiz.de/10010310510

R robustified additive nonparametric regression

Tamine, Julien; Härdle, Wolfgang; Yang, Lijian - Sonderforschungsbereich 373, Quantifikation und … - 2002

asymptotic distribution, we also obtain robustness results for our estimator. All of our results are valid for a broad class of ß …

Persistent link: https://www.econbiz.de/10010983510

On a strategy to develop robust and simple tariffs from motor vehicle insurance data

Christmann, Andreas - 2004

nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …

Persistent link: https://www.econbiz.de/10010516923

Does modeling lead to more accurate classification?: A study of relative efficiency in linear classification

Lee, Yoonkyung; Wang, Rui - In: Journal of Multivariate Analysis 133 (2015) C, pp. 232-250

discriminant analysis (LDA) under the normal setting, we contrast such algorithmic methods as the support vector machine (SVM) and … 60% for the SVM and 50% to 80% for boosting when compared to the LDA. However, a smooth variant of the SVM is shown to be … experiments under various settings for comparisons of finite-sample performance and robustness to mislabeling and model …

Persistent link: https://www.econbiz.de/10011116232

Specification Testing for Multivariate Time Series Volatility Models

Lee, Yoon-Jin; Hong, Yongmiao - Econometric Society - 2004

Volatility models have been playing an important role in economics and finance. Using a multivariate generalized spectral approach, we propose a new class of generally applicable omnibus tests for univariate and multivariate volatility models. Both GARCH models and stochastic volatility models...

Persistent link: https://www.econbiz.de/10005342373

On a strategy to develop robust and simple tariffs from motor vehicle insurance data

Christmann, Andreas - 2004

nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …

Persistent link: https://www.econbiz.de/10010306241

On a strategy to develop robust and simple tariffs from motor vehicle insurance data

Christmann, Andreas - Institut für Wirtschafts- und Sozialstatistik, … - 2004

nonparametric approach based on a combination of kernel logistic regression and ¡support vector regression. …

Persistent link: https://www.econbiz.de/10009295203

Minimum density power divergence estimator for GARCH models

Lee, Sangyeol; Song, Junmo - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 2, pp. 316-341

Persistent link: https://www.econbiz.de/10005004335

Mixtures of g-priors for Bayesian model averaging with economic applications

Ley, Eduardo; Steel, Mark F. J. - Volkswirtschaftliche Fakultät, … - 2011

We examine the issue of variable selection in linear regression modeling, where we have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the appropriate subset. In this context, Bayesian Model Averaging presents a formal Bayesian...

Persistent link: https://www.econbiz.de/10009650656

Mixtures of g-priors for bayesian model averaging with economic applications

Ley, Eduardo; Steel, Mark F.J. - Departamento de Estadistica, Universidad Carlos III de … - 2011

We examine the issue of variable selection in linear regression have a potentially large amount of possible covariates and economic theory offers insufficient guidance on how to select the Model Averaging presents uncertainty. Our main interest here is the effect of the prior on the results,...

Persistent link: https://www.econbiz.de/10009195324