4 citations · 11 across the 5 of their papers we have counts for
5 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…
Fourier-type monitoring procedures for strict stationarity
Sangyeol Lee, Simos G. Meintanis, Charl Pretorius
We consider model-free monitoring procedures for strict stationarity of a given time series. The new criteria are formulated as L2-type statistics incorporating the empirical chara…
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…