Variable Selection for Financial Modeling
نویسندگان
چکیده
In this paper, a global methodology for variable selection is presented. This methodology is optimizing the Nonparametric Noise Estimation (NNE) provided by Delta Test. The 3 steps of the methodology are Variable Selection (VS), Scaling and Projection. The methodology is applies to two examples: the Boston Housing database and a financial data set. It is shown that the proposed methodology provides better input variables than an exhaustive search. Furthermore, interpretability of the results is improved.
منابع مشابه
A Global Methodology for Variable Selection Application to Financial Modeling
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تاریخ انتشار 2007