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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Nonparametric and Semiparametric Regressions Subject to Monotonicity Constraints: Estimation and Forecasting
Nonlinearity Nonparametric regression Semiparametric regression Local mono- tonicity Bagging
2016/1/20
This paper considers nonparametric and semiparametric regression models subject to monotonicity constraint. We use bagging as an alternative approach to Hall and Huang(2001). Asymptotic properties of ...
Neyman-Pearson classification, convexity and stochastic constraints
binary classifi cation Neyman-Pearson paradigm anomaly detection stochastic constraint convexity empirical risk minimization chance constrained optimization
2011/3/25
Motivated by problems of anomaly detection, this paper implements the Neyman-Pearson paradigm to deal with asymmetric errors in binary classification with a convex loss. Given a finite collection of c...