On tuning parameter selection in model selection and model averaging : a Monte Carlo study
Year of publication: |
2019
|
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Authors: | Xiao, Hui ; Sun, Yiguo |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 3/109, p. 1-16
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Subject: | Mallows criterion | model averaging | model selection | shrinkage | tuning parameter choice | Monte-Carlo-Simulation | Monte Carlo simulation | Modellierung | Scientific modelling | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm12030109 [DOI] hdl:10419/239039 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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