In this paper the problem of constructing a generalized error of forecast for a set of dependent variables in a multi variate regression model (which may be the set of reduced-form equations of an ...

In this module, we will introduce generalized linear models (GLMs) through the study of binomial data. In particular, we will motivate the need for GLMs; introduce the binomial regression model, ...

The zero-inflated Poisson (ZIP) distribution has been shown to be useful for modeling outcomes of manufacturing processes producing numerous defect-free products. When there are several types of ...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The ...

Multivariate adaptive regression splines (MARS) have useful features to effectively reduce the number of terms in a model.