A cross-validated family of moment estimators, indexed by kappa and spanning NLS, Poisson, and gamma PML, often beats Poisson regression on sparse, heteroskedastic non-negative finance data.
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Handling Sparse Non-negative Data in Finance
A cross-validated family of moment estimators, indexed by kappa and spanning NLS, Poisson, and gamma PML, often beats Poisson regression on sparse, heteroskedastic non-negative finance data.