Predicting binary outcomes

DOI10.1016/J.JECONOM.2013.01.003MaRDI QIDQ386939zbMATH OpenOpenAlexFDO

Authors Robert P. Lieli, Graham Elliott

Publication date 11 December 2013

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2013.01.003

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Point estimation (62F10) Applications of statistics to economics (62P20) Decision theory (91B06) Utility theory (91B16) Statistical methods; economic indices and measures (91B82)

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Cites work

• A Smoothed Maximum Score Estimator for the Binary Response Model
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
• Convergence of stochastic processes
• Cube root asymptotics
• Decision-based methods for forecast evaluation
• Estimation of best predictors of binary response
• Global optimization of statistical functions with simulated annealing
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Maximum score estimation of the stochastic utility model of choice
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• Optimal binary prediction for group decision making
• Prediction with a Generalized Cost of Error Function
• Relations between Weak and Uniform Convergence of Measures with Applications
• Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
• Semiparametric methods in econometrics

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(20)

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• Using the area under an estimated ROC curve to test the adequacy of binary predictors
• Robust interval forecasting algorithm based on a probabilistic cluster model
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• The construction of empirical credit scoring rules based on maximization principles
• Getting the ROC into Sync
• Fair Policy Targeting
• Linear biomarker combination for constrained classification
• Policy targeting under network interference
• Support vector decision making
• High dimensional binary choice model with unknown heteroskedasticity or instrumental variables
• Statistical inference of optimal allocations. I: Regularities and their implications
• Utility-Maximizing Binary Prediction via the Nearest Neighbor Method and Its Application to Credit Scoring
• Binary choice under asymmetric loss in a data-rich environment: theory and an application to algorithmic fairness

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Uses Software

• simannf90

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