Value-at-risk support vector machine: stability to outliers.
Peter TsyurmastoMichael ZabarankinStan UryasevPublished in: J. Comb. Optim. (2014)
Keyphrases
- support vector machine
- risk management
- support vector
- multi class
- outlier detection
- high risk
- svm classifier
- outlier removal
- statistical learning theory
- missing data
- decision making
- stability analysis
- risk assessment
- training data
- radial basis function
- feature selection
- stock market prediction
- decision forest
- novelty detection
- multi class support vector machines
- kernel methods
- svm classification
- small sample
- risk factors
- support vector machine svm
- noisy data
- feature space
- knowledge discovery
- portfolio optimization
- lp norm
- minimum risk
- k nearest neighbor