Efficient adaptive regression spline algorithms based on mapping approach with a case study on finance

DOI10.1007/S10898-014-0211-1MaRDI QIDQ740643zbMATH OpenOpenAlexFDO

Authors Elcin Kartal Koc, Cem Iyigun, İnci Batmaz, Gerhard-Wilhelm Weber

Publication date 4 September 2014

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-014-0211-1

zbMATH Keywords

optimizationdata miningregression splinesCMARSmultivariate adaptive regression splines (MARS)interest rate estimationself organizing maps

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 729680 (Why is no real title available?)
• A computational approach to nonparametric regression: bootstrapping CMARS method
• Automatic Bayesian Curve Fitting
• Bayesian curve-fitting with free-knot splines
• CMARS: A new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous optimization
• Flexible Parsimonious Smoothing and Additive Modeling
• Hybrid Adaptive Splines
• Mining the customer credit using classification and regression tree and multivariate adaptive regression splines
• Multivariate adaptive regression splines
• New approaches to regression by generalized additive models and continuous optimization for modern applications in finance, science and technology
• Polynomial splines and their tensor products in extended linear modeling. (With discussions)
• RCMARS: robustification of CMARS with different scenarios under polyhedral uncertainty set
• Restructuring forward step of MARS algorithm using a new knot selection procedure based on a mapping approach
• Self-organization and associative memory.
• Spatially Adaptive Regression Splines and Accurate Knot Selection Schemes

Cited in

(3)

• A Generalized Estimating Equation Approach to Multivariate Adaptive Regression Splines
• Dynamic simulation metamodeling using Mars: a case of radar simulation
• A new approach to multivariate adaptive regression splines by using Tikhonov regularization and continuous optimization

Describes a project that uses

Uses Software

• ARESLab
• CMARS
• SOM

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