Risk Tuning with Generalized Linear Regression.
R. Tyrrell RockafellarStan UryasevMichael ZabarankinPublished in: Math. Oper. Res. (2008)
Keyphrases
- linear regression
- least squares
- regression problems
- nonlinear regression
- linear regression model
- regression methods
- linear models
- risk management
- kernel regression
- ridge regression
- locally weighted
- regression method
- multivariate regression
- three dimensional
- generalized linear models
- risk assessment
- probability distribution
- square loss
- lower bound