Variable selection of varying-coefficient models and its application on stock data

DOI10.3969/J.ISSN.0490-6756.2009.06.003MaRDI QIDQ3054844zbMATH OpenFDO

Authors Jinlan Deng, Binhuan Wang, Shili Fan

Publication date 5 November 2010

Full work available at URL https://doi.org/10.3969/J.ISSN.0490-6756.2009.06.003

zbMATH Keywords

cross-validationlocal linearvariable selectionvarying-coefficient models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(1)

• Using a sequence of point optimal tests to select a varying coefficient model

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