The new robust conic GPLM method with an application to finance: prediction of credit default
DOI10.1007/S10898-012-9902-7zbMATH Open1273.62251OpenAlexW2034774757MaRDI QIDQ2392775FDOQ2392775
Authors: Gerhard-Wilhelm Weber, Zehra Çavuşoğlu, Ozlem Defterli, Ayşe Özmen 
Publication date: 2 August 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-012-9902-7
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uncertaintyrobust optimizationpredicting default probabilitiesRCMARSrobust conic generalized partial linear model
Linear inference, regression (62J99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
Cites Work
- CMARS: A new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous optimization
- Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
- Robust optimization
- Robust optimization-methodology and applications
- Robust convex optimization
- On the foundations of parameter estimation for generalized partial linear models with B-splines and continuous optimization
- RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set
- Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
Cited In (13)
- A new robust optimization tool applied on financial data
- Sparse regression modeling for short- and long-term natural gas demand prediction
- Title not available (Why is that?)
- CMARS and GAM \& CQP-modern optimization methods applied to international credit default prediction
- A new outlier detection method based on convex optimization: application to diagnosis of Parkinson's disease
- MARS as an alternative approach of Gaussian graphical model for biochemical networks
- Human resources optimization with Mars and ANN: innovation geolocation model for generation Z
- The use of spatial data mining methods for modeling HR challenges of generation Z in greater Poland region
- Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
- A fixed charge transportation problem with damageable items under uncertain environment
- Estimation in the partially nonlinear model by continuous optimization
- RMARS: robustification of multivariate adaptive regression spline under polyhedral uncertainty
- Robust multivariate adaptive regression splines under cross-polytope uncertainty: an application in a natural gas market
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