Model selection in utility-maximizing binary prediction
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.07.052
Abstract: The semiparametric maximum utility estimation proposed by Elliott and Lieli (2013) can be viewed as cost-sensitive binary classification; thus, its in-sample overfitting issue is similar to that of perceptron learning in the machine learning literature.… read more here.
Keywords: utility; expected utility; selection utility; model selection ... See more keywords