Mean-Variance and Mean-Variance-Correlation Neural Network Regression Models

17 Pages Posted: 20 Aug 2019

See all articles by Andrea Gabrielli

Andrea Gabrielli

ETH Zurich, Department of Mathematics, RiskLab, Students

Date Written: August 16, 2019

Abstract

We introduce two neural network models designed for application in statistical learning. The mean-variance neural network regression model allows us to simultaneously model the mean and the variance of a response variable. In case of a two-dimensional response vector, the mean-variance-correlation neural network regression model enables us to jointly model the means, the variances and the correlation.

Keywords: Mean-variance regression, mean-variance-correlation regression, neural networks, multi-task learning.

JEL Classification: C02, C13, C15, C45, C50, C51, C52

Suggested Citation

Gabrielli, Andrea, Mean-Variance and Mean-Variance-Correlation Neural Network Regression Models (August 16, 2019). Available at SSRN: https://ssrn.com/abstract=3438332 or http://dx.doi.org/10.2139/ssrn.3438332

Andrea Gabrielli (Contact Author)

ETH Zurich, Department of Mathematics, RiskLab, Students ( email )

Switzerland

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