Search Results for author:
Found 4 papers, 1 papers with code
Predicting Mortality from Credit Reports
Data on hundreds of variables related to individual consumer finance behavior (such as credit card and loan activity) is routinely collected in many countries and plays an important role in lending decisions.
Short-Term Covid-19 Forecast for Latecomers
The number of Covid-19 cases is increasing dramatically worldwide.
Applications Econometrics Methodology
Sharpe Ratio Analysis in High Dimensions: Residual-Based Nodewise Regression in Factor Models
Since the nodewise regression is not feasible due to the unknown nature of idiosyncratic errors, we provide a feasible-residual-based nodewise regression to estimate the precision matrix of errors which is consistent even when number of assets, p, exceeds the time span of the portfolio, n. In another new development, we also show that the precision matrix of returns can be estimated consistently, even with an increasing number of factors and p>n.
BooST: Boosting Smooth Trees for Partial Effect Estimation in Nonlinear Regressions
In this paper, we introduce a new machine learning (ML) model for nonlinear regression called the Boosted Smooth Transition Regression Trees (BooST), which is a combination of boosting algorithms with smooth transition regression trees.
