Evidence optimization for consequently generated models

DOI10.1016/J.MCM.2011.02.017zbMath1305.91249OpenAlexW2173130540WikidataQ59243840 ScholiaQ59243840MaRDI QIDQ2256360

Gerhard-Wilhelm Weber, Ekaterina Krymova, Vadim V. Strijov

Publication date: 19 February 2015

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2011.02.017

zbMATH Keywords

model selectionmulticollinearityfeature generationmodel evidenceEuropean option volatility

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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