Risk minimization for time series binary choice with variable selection
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Cites work
- A Smoothed Maximum Score Estimator for the Binary Response Model
- Bayesian consistency for stationary models
- Best subset selection, persistence in high-dimensional statistical learning and optimization under l₁ constraint
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- Gibbs posterior for variable selection in high-dimensional classification and data mining
- Information-theoretic upper and lower bounds for statistical estimation
- Maximum score estimation of the stochastic utility model of choice
- Minimum complexity regression estimation with weakly dependent observations
- Misspecification in infinite-dimensional Bayesian statistics
- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
- MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
- Semiparametric analysis of discrete response. Asymptotic properties of the maximum score estimator
- Stochastic Limit Theory
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- The performance bounds of learning machines based on exponentially strongly mixing sequences
- Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.
Cited in
(8)- Best subset binary prediction
- Robust Bayes estimation using the density power divergence
- General inequalities for Gibbs posterior with nonadditive empirical risk
- Predicting Panel Data Binary Choice with the Gibbs Posterior
- On extensions of Hoeffding's inequality for panel data
- Empirical risk minimization for time series: nonparametric performance bounds for prediction
- Performance of empirical risk minimization for linear regression with dependent data
- An Oracle Inequality for Multivariate Dynamic Quantile Forecasting
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