We introduce a fast stepwise regression method, called the orthogonal greedy algorithm (OGA), that selects input variables to enter a p-dimensional linear regression model (with p ≫ n, the sample size ...
Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
Abstract. We design a numerical scheme for solving the Multi-step Forward Dynamic Programming (MDP) equation arising from the time-discretization of backward stochastic differential equations. The ...
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