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ANOR
2004
69views more  ANOR 2004»
14 years 11 months ago
Robust Asset Allocation
Reha H. Tütüncü, M. Koenig
CSDA
2010
119views more  CSDA 2010»
14 years 11 months ago
Fast robust estimation of prediction error based on resampling
Robust estimators of the prediction error of a linear model are proposed. The estimators are based on the resampling techniques cross-validation and bootstrap. The robustness of t...
Jafar A. Khan, Stefan Van Aelst, Ruben H. Zamar