The new robust conic GPLM method with an application to finance: prediction of credit default
DOI10.1007/s10898-012-9902-7zbMath1273.62251OpenAlexW2034774757MaRDI QIDQ2392775
Ozlem Defterli, Zehra Çavuşoğlu, Gerhard-Wilhelm Weber, 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
uncertaintyrobust optimizationpredicting default probabilitiesRCMARSrobust conic generalized partial linear model
Applications of statistics to actuarial sciences and financial mathematics (62P05) Linear inference, regression (62J99) Credit risk (91G40)
Related Items (9)
Uses Software
Cites Work
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- CMARS: a new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous 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
- Robust optimization-methodology and applications
- Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
- Lectures on Modern Convex Optimization
- Robust Convex Optimization
- Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
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