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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging
2016/1/25
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Nonlinear lattices generated from harmonic lattices with geometric constraints
Harmonic the nonlinear dynamic grid model sine multiple linear matrix equation the nonlinear model
2014/12/29
Geometrical constraints imposed on higher-dimensional harmonic lattices generally lead to nonlinear dynamical lattice models. Helical lattices obtained by such a procedure are shown to be described by...
Adaptive confidence intervals for regression functions under shape constraints
Adaptation confidence interval convex function coverage probability expected length minimax estimation modulus of continuity monotone func-tion nonparametric regression shape constraint white noise model
2013/6/14
Adaptive confidence intervals for regression functions are constructed under shape constraints of monotonicity and convexity. A natural benchmark is established for the minimum expected length of conf...
Graphical methods for inequality constraints in marginalized DAGs
Graphical methods inequality constraints marginalized DAGs
2012/11/22
We present a graphical approach to deriving inequality constraints for directed acyclic graph (DAG) models, where some variables are unobserved. In particular we show that the observed distribution of...
Nonparametric instrumental regression with non-convex constraints
Nonparametric instrumental regression non-convex constraints
2012/11/21
This paper considers the nonparametric regression model with an additive error that is dependent on the explanatory variables. As is common in empirical studies in epidemiology and economics, it also ...
Online Multi-task Learning with Hard Constraints
Online Multi-task Learning Hard Constraints
2010/3/18
We discuss multi-task online learning when a decision
maker has to deal simultaneously with M
tasks. The tasks are related, which is modeled
by imposing that the M–tuple of actions taken by
the de...