We consider three popular classes of compactly supported radial basis functions. In the setting of estimating a periodic function in a white noise problem, we show that regularization with (periodized ...

Dr. James McCaffrey presents a complete end-to-end demonstration of the kernel ridge regression technique to predict a single ...

Statistical Science, Vol. 27, No. 4, Special Issue on Sparsity and Regularization Methods (November 2012), pp. 538-557 (20 pages) High-dimensional statistical inference deals with models in which the ...

This paper considers the regularization effect on model calibration It compares two methods to calibrate two popular models that are widely used for stochastic volatility modeling, i.e., the SABR and ...

We introduce a novel regularization method for the VARX model in the context of portfolios, where weighted links between portfolios are used to construct a penalty function for the autoregressive ...