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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2010.2
- 수록면
- 155 - 162 (8page)
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In this paper we propose a doubly penalized kernel method which estimates both the mean function and the variance function simultaneously by kernel machines for heteroscedastic autoregressive data. We also present the model selection method which employs the cross validation techniques for choosing the hyper-parameters which a ect the performance of proposed method. Simulated examples are provided to indicate the usefulness of proposed method for the estimation of mean and variance functions.
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참고문헌 (16)
참고문헌 신청
1. [학술지(정기간행물)] - Aizerman, M. A. / 1964 / Theoretical foundation of potential function method in pattern recognition learning / Automation and Remote Control 25 : 821 ~ 837
2. [학술지(정기간행물)] - Anderson, T. G. / 1997 / Estimating continuous-time stochastic volatility models of short-term interest rate / Journal of Econometrics 77 : 343 ~ 377
3. [학술지(정기간행물)] - Fan, J. Q. / 1998 / Effcient estimation of conditional variance functions in stochastic regression / Biometrika 85 : 645 ~ 660
4. [학술지(정기간행물)] - Golub, G. H. / 1979 / Generalized cross validation as a method for choosing a good ridge parameter / Technometrics 21 : 215 ~ 223
5. [학술지(정기간행물)] - 황창하 / 2008 / Mixed Effects Kernel Binomial Regression / 한국데이터정보과학회지 19 (4) : 1327 ~ 1334
2. [학술지(정기간행물)] - Anderson, T. G. / 1997 / Estimating continuous-time stochastic volatility models of short-term interest rate / Journal of Econometrics 77 : 343 ~ 377
3. [학술지(정기간행물)] - Fan, J. Q. / 1998 / Effcient estimation of conditional variance functions in stochastic regression / Biometrika 85 : 645 ~ 660
4. [학술지(정기간행물)] - Golub, G. H. / 1979 / Generalized cross validation as a method for choosing a good ridge parameter / Technometrics 21 : 215 ~ 223
5. [학술지(정기간행물)] - 황창하 / 2008 / Mixed Effects Kernel Binomial Regression / 한국데이터정보과학회지 19 (4) : 1327 ~ 1334
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UCI(KEPA) : I410-ECN-0101-2018-041-001389157