Search Results - subject:"Model Selection"

A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options

Wiphatthanananthakul, Chatayan; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

In 2003, the Chicago Board Options Exchange (CBOE) made two key enhancements to the volatility index (VIX) methodology based on S&P options. The new VIX methodology seems to be based on a complicated formula to calculate expected volatility. In this paper, with the use of Thailand’s SET50...

Persistent link: https://www.econbiz.de/10011272964

Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models

Kwon, Yongjae; Bozdogan, Hamparsum; Bensmail, Halima - In: Econometric Reviews 28 (2009) 1-3, pp. 83-101

This article presents a new Bayesian modeling and information-theoretic model selection criteria for threshold vector …-theoretic model selection criteria such as, Akaike's (1973) Information Criterion (AIC), Schwarz (1978) Bayesian Criterion (SBC …), and the new Bayesian Model Selection (BMS) Criterion of Bozdogan and Ueno (2000). We study the performance of these …

Persistent link: https://www.econbiz.de/10005476095

Model Choice Using the Deviance Information Criterion for Latent Conditional Individual-Level Models of Infectious Disease Spread

Deeth, Lorna E.; Deardon, Rob; Gillis, Daniel J. - In: Epidemiologic Methods 4 (2015) 1, pp. 47-68

Abstract Individual-level models (ILMs) are a class of complex, statistical models that are often fitted within a Bayesian framework, and which can be suitable for modeling infectious disease spread. The deviance information criterion (DIC) is a model comparison tool that is appropriate for...

Persistent link: https://www.econbiz.de/10014590600

The Bayesian Causal Effect Estimation Algorithm

Talbot, Denis; Lefebvre, Geneviève; Atherton, Juli - In: Journal of Causal Inference 3 (2015) 2, pp. 207-236

adjusted model, model selection can be attempted. Most classical statistical model selection approaches, such as Bayesian model …

Persistent link: https://www.econbiz.de/10014610819

Estimating the Marginal Abatement Cost Curve of CO2 Emissions in China: Provincial Panel Data Analysis

DU, Limin; Hanley, Aoife; WEI, Chu - Institut für Weltwirtschaft (IfW) - 2015

This paper estimates the Marginal Abatement Cost Curve (MACC) of CO2 emissions in China based on a provincial panel for the period of 2001-2010. The provincial marginal abatement cost (MAC) of CO2 emissions is estimated using a parameterized directional output distance function. Four types of...

Persistent link: https://www.econbiz.de/10011141146

Model Pooling and Changes in the Informational Content of Predictors: an Empirical Investigation for the Euro Area

Schwarzmüller, Tim - Institut für Weltwirtschaft (IfW) - 2015

I study the performance of single predictor bridge equation models as well as a wide range of model selection and … area GDP growth. I explore to what extend model selection and model pooling techniques are able to outperform a simple …-samples. Moreover, model selection techniques turn out to produce quite poor forecasts in some sub-samples. On the contrary, model …

Persistent link: https://www.econbiz.de/10011162483

Mixture model selection via hierarchical BIC

Zhao, Jianhua; Jin, Libin; Shi, Lei - In: Computational Statistics & Data Analysis 88 (2015) C, pp. 139-153

The Bayesian information criterion (BIC) is one of the most popular criteria for model selection in finite mixture …

Persistent link: https://www.econbiz.de/10011264463

Mixture pair-copula-constructions

Weiß, Gregor N.F.; Scheffer, Marcus - In: Journal of Banking & Finance 54 (2015) C, pp. 175-191

We propose the use of convex combinations of parametric copulas as pair-copulas in high-dimensional vine copula models. By doing so, we circumvent the error-prone need to choose and estimate a parametric copula for each pair-copula in a vine model. We show in simulations that our proposed model...

Persistent link: https://www.econbiz.de/10011264652

An Akaike information criterion for multiple event mixture cure models

Dirick, Lore; Claeskens, Gerda; Baesens, Bart - In: European Journal of Operational Research 241 (2015) 2, pp. 449-457

We derive the proper form of the Akaike information criterion for variable selection for mixture cure models, which are often fit via the expectation–maximization algorithm. Separate covariate sets may be used in the mixture components. The selection criteria are applicable to survival models...

Persistent link: https://www.econbiz.de/10011077633

Robust model selection for a semimartingale continuous time regression from discrete data

Victor, Konev; Serguei, Pergamenchtchikov - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 294-326

The paper considers the problem of estimating a periodic function in a continuous time regression model observed under a general semimartingale noise with an unknown distribution in the case when continuous observation cannot be provided and only discrete time measurements are available. Two...

Persistent link: https://www.econbiz.de/10011077891