The new robust conic GPLM method with an application to finance: prediction of credit default
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Publication:2392775
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Cites work
- CMARS: A new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous optimization
- Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
- Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
- On the foundations of parameter estimation for generalized partial linear models with B-splines and continuous optimization
- Predicting default probabilities in emerging markets by new conic generalized partial linear models and their optimization
- RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set
- Robust convex optimization
- Robust optimization
- Robust optimization-methodology and applications
Cited in
(13)- CMARS and GAM \& CQP-modern optimization methods applied to international credit default prediction
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- A new robust optimization tool applied on financial data
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