Search Results - subject:"Kullback–Leibler information criterion"

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10010288300

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

Persistent link: https://www.econbiz.de/10009554364

Information theory for maximum likelihood estimation of diffusion models

Choi, Hwan-sik - In: Journal of econometrics 191 (2016) 1, pp. 110-128

Persistent link: https://www.econbiz.de/10011594645

Weights and Pools for a Norwegian Density Combination

Bjørnland, Hilde C.; Gerdrup, Karsten R.; Smith, Christie - 2010

different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We use linear and …

Persistent link: https://www.econbiz.de/10012143740

Model Comparisons in Unstable Environments

Rossi, Barbara; Giacomini, Raffaella - Duke University, Department of Economics - 2010

measure of the models' local relative performance: the "local Kullback-Leibler Information Criterion" (KLIC), which measures …

Persistent link: https://www.econbiz.de/10008549034

Model Comparisons in Unstable Environments

Giacomini, Raffaella; Rossi, Barbara - Duke University, Department of Economics - 2009

measure of the models? local relative performance: the "local Kullback-Leibler Information Criterion" (KLIC), which measures …

Persistent link: https://www.econbiz.de/10009145727

Transformation-based nonparametric estimation of multivariate densities

Chang, Meng-Shiuh; Wu, Ximing - In: Journal of Multivariate Analysis 135 (2015) C, pp. 71-88

multivariate densities. We show that the Kullback–Leibler Information Criterion (KLIC) between the true density and its estimate …

Persistent link: https://www.econbiz.de/10011189581

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10010325942

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - School of Economics, UNSW Business School - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …; Kullback-Leibler Information Criterion; empirical copula JEL Classification: C12; C14; C32; C52; C53 ∗Corresponding author … predictive accuracy test for copulas As mentioned in the introduction, the Kullback-Leibler information criterion (KLIC …

Persistent link: https://www.econbiz.de/10005422761

Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general …

Persistent link: https://www.econbiz.de/10011256012