2 papers
econ.EM2026
Nonlinear Boosting with Multiple Testing in High-Dimensional Generalised Linear Models with Binary Responses
Charisios Grivas, George Kapetanios, Zacharias Psaradakis +3
This paper proposes a nonlinear boosting with multiple testing (BMT) approach to variable selection in high-dimensional generalised linear models with binary responses. At each sta…
econ.EM2025
On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities
Demian Pouzo, Martin Sola, Zacharias Psaradakis
This paper studies the robustness of quasi-maximum-likelihood (QML) estimation in hidden Markov models (HMMs) when the regime-switching structure is misspecified. Specifically, we…