CMARS and GAM \& CQP-modern optimization methods applied to international credit default prediction

DOI10.1016/j.cam.2010.04.039zbMath1217.91203OpenAlexW2009165669MaRDI QIDQ555143

Ayşegül İşcanoğlu Çekiç, Erkan Büyükbebeci, Özge Sezgin Alp, Pakize Taylan, Fatma Yerlikaya Özkurt, Gerhard-Wilhelm Weber

Publication date: 22 July 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.04.039

zbMATH Keywords

GAMregularizationlogistic regressionemerging marketsMARSCARTfinancial mathematicscontinuous optimizationCMARSconic quadratic programmingsovereign defaults

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Quadratic programming (90C20) Credit risk (91G40)

Related Items (5)

A computational approach to nonparametric regression: bootstrapping CMARS method ⋮ Optimization of an economic ordering quantity model for non-instantaneous deteriorating items with ordering time constraint using dynamic programming ⋮ Pre-sale ordering strategy based on the new retail context considering bounded consumer rationality ⋮ Bunkering policies for a fuel bunker management problem for liner shipping networks ⋮ Vine copula graphical models in the construction of biological networks

Uses Software

• ElemStatLearn

Cites Work

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• Artificial neural networks versus multivariate statistics: An application from economics
• New approaches to regression by generalized additive models and continuous optimization for modern applications in finance, science and technology
• The elements of statistical learning. Data mining, inference, and prediction

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