4 papers
The impact of class imbalance in logistic regression models for low-default portfolios in credit risk
Willem D. Schutte, Charl Pretorius, Neill Smit +2
In this paper, we study how class imbalance, typical of low-default credit portfolios, affects the performance of logistic regression models. Using a simulation study with controll…
A Weighted Regression Approach to Break-Point Detection in Panel Data
Charl Pretorius, Heinrich Roodt
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional me…
Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data
Simos G. Meintanis, John P. Nolan, Charl Pretorius
We consider goodness-of-fit methods for multivariate symmetric and asymmetric stable Paretian random vectors in arbitrary dimension. The methods are based on the empirical characte…
Tests for validity of the semiparametric heteroskedastic transformation model
Marie Hušková, Simos G. Meintanis, Charl Pretorius
There exist a number of tests for assessing the nonparametric heteroscedastic location-scale assumption. Here we consider a goodness-of-fit test for the more general hypothesis of…