Quantile- based portfolios: post- model- selection estimation with alternative specifications.
Giovanni BonaccoltoPublished in: Comput. Manag. Sci. (2021)
Keyphrases
- model selection
- parameter estimation
- error estimation
- cross validation
- selection criterion
- hyperparameters
- sample size
- regression model
- bayesian learning
- statistical learning
- mixture model
- gaussian process
- feature selection
- meta learning
- variable selection
- generalization error
- motion segmentation
- marginal likelihood
- density estimation
- machine learning
- statistical inference
- leave one out cross validation
- bayesian methods
- least squares
- information criterion
- parameter determination
- automatic model selection