英文标题：
《Toward robust early-warning models: A horse race, ensembles and model
uncertainty》
---
作者：
Markus Holopainen, Peter Sarlin
---
最新提交年份：
2016
---
英文摘要：
This paper presents first steps toward robust models for crisis prediction. We conduct a horse race of conventional statistical methods and more recent machine learning methods as early-warning models. As individual models are in the literature most often built in isolation of other methods, the exercise is of high relevance for assessing the relative performance of a wide variety of methods. Further, we test various ensemble approaches to aggregating the information products of the built models, providing a more robust basis for measuring country-level vulnerabilities. Finally, we provide approaches to estimating model uncertainty in early-warning exercises, particularly model performance uncertainty and model output uncertainty. The approaches put forward in this paper are shown with Europe as a playground. Generally, our results show that the conventional statistical approaches are outperformed by more advanced machine learning methods, such as k-nearest neighbors and neural networks, and particularly by model aggregation approaches through ensemble learning.
---
中文摘要：
本文介绍了建立稳健的危机预测模型的第一步。我们将传统的统计方法和最新的机器学习方法作为早期预警模型进行了一场赛马。由于文献中的单个模型通常是在与其他方法隔离的情况下建立的，因此该练习对于评估各种方法的相对性能具有高度相关性。此外，我们还测试了各种集成方法，以聚合构建模型的信息产品，为衡量国家级脆弱性提供了更可靠的基矗最后，我们提供了在预警练习中估计模型不确定性的方法，特别是模型性能不确定性和模型输出不确定性。本文提出的方法以欧洲为例进行了展示。一般来说，我们的结果表明，传统的统计方法优于更先进的机器学习方法，如k近邻和神经网络，尤其是通过集成学习的模型聚合方法。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
--
一级分类：Computer Science 计算机科学
二级分类：Computational Engineering, Finance, and Science 计算工程、金融和科学
分类描述：Covers applications of computer science to the mathematical modeling of complex systems in the fields of science, engineering, and finance. Papers here are interdisciplinary and applications-oriented, focusing on techniques and tools that enable challenging computational simulations to be performed, for which the use of supercomputers or distributed computing platforms is often required. Includes material in ACM Subject Classes J.2, J.3, and J.4 (economics).
涵盖了计算机科学在科学、工程和金融领域复杂系统的数学建模中的应用。这里的论文是跨学科和面向应用的，集中在技术和工具，使挑战性的计算模拟能够执行，其中往往需要使用超级计算机或分布式计算平台。包括ACM学科课程J.2、J.3和J.4（经济学）中的材料。
--
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--
一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
PDF下载：
-->