The subject of this PhD research is within the areas of Econometrics and Artificial Intelligence. More concretely, it deals with the tasks of statistical regression and classification analysis. New classification methods have been proposed, as well as new applications of established ones in the areas of Finance and Marketing. The bulk of this PhD research centers on extending standard methods that fall under the general term of loss-versus-penalty classification techniques. These techniques build on the premises that a model that uses a finite amount of available data to be trained on should neither be too complex nor too simple in order to possess a good forecasting ability. New proposed classification techniques in this area are Support Hyperplanes, Nearest Convex Hull classification and Soft Nearest Neighbor. Next to the new techniques, new applications of some standard loss-versus-penalty methods have been put forward. Specifically, these are the application of the so-called Support Vector Machines (SVMs) for classification and regression analysis to financial time series forecasting, solving the Market Share Attraction model and solving and interpreting binary classification tasks in Marketing. In addition, this research focuses on new efficient solutions to SVMs using the so-called majorization algorithm. This algorithm provides for the possibility to incorporate various so-called loss functions while solving general SVM-like methods.

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Keywords binary problems in marketing, econometrics and machine learning, financial time-series forecasting, instance-based learning, kernel methods, regularization
JEL Statistical Decision Theory; Operations Research (jel C44), Financial Forecasting (jel G17), Business Administration and Business Economics; Marketing; Accounting (jel M), Marketing (jel M31)
Promotor P.J.F. Groenen (Patrick)
Publisher Erasmus University Rotterdam , Erasmus Research Institute of Management
Sponsor Erasmus University Rotterdam (EUR) Erasmus School of Economics (ESE) Erasmus Research Institute of Management (ERIM)
ISBN 978-90-5892-166-6
Persistent URL
Series ERIM Ph.D. Series Research in Management
Nalbantov, G.I. (2008, September 11). Essays on Some Recent Penalization Methods with Applications in Finance and Marketing (No. EPS-2008-132-MKT). ERIM Ph.D. Series Research in Management. Erasmus Research Institute of Management. Retrieved from