1 code implementation • 16 Apr 2020 • Marcelo Medeiros, Alexandre Street, Davi Valladão, Gabriel Vasconcelos, Eduardo Zilberman
The number of Covid-19 cases is increasing dramatically worldwide.
Applications Econometrics Methodology
no code implementations • 5 Feb 2020 • Mehmet Caner, Marcelo Medeiros, Gabriel Vasconcelos
Since the nodewise regression is not feasible due to the unknown nature of idiosyncratic errors, we provide a feasible-residual-based nodewise regression to estimate the precision matrix of errors which is consistent even when number of assets, p, exceeds the time span of the portfolio, n. In another new development, we also show that the precision matrix of returns can be estimated consistently, even with an increasing number of factors and p>n.
no code implementations • 10 Aug 2018 • Yuri Fonseca, Marcelo Medeiros, Gabriel Vasconcelos, Alvaro Veiga
In this paper, we introduce a new machine learning (ML) model for nonlinear regression called the Boosted Smooth Transition Regression Trees (BooST), which is a combination of boosting algorithms with smooth transition regression trees.