Search Results - subject:"Model Selection"

Nonparametric estimation of pair-copula constructions with the empirical pair-copula

Hobæk Haff, Ingrid; Segers, Johan - In: Computational Statistics & Data Analysis 84 (2015) C, pp. 1-13

A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, inducing a model risk, with errors potentially propagating throughout...

Persistent link: https://www.econbiz.de/10011191018

Comments on: Comparing and selecting spatial predictors using local criteria

Lindgren, Finn - In: TEST: An Official Journal of the Spanish Society of … 24 (2015) 1, pp. 35-44

<Para ID="Par1">Large spatial data sets require innovative techniques for computationally efficient statistical estimation. In this comment some aspects of local predictor selection are explored, with a view towards spatially coherent field prediction and uncertainty quantification. Copyright Sociedad de...</para>

Persistent link: https://www.econbiz.de/10011240910

Model evaluation, discrepancy function estimation, and social choice theory

Neath, Andrew; Cavanaugh, Joseph; Weyhaupt, Adam - In: Computational Statistics 30 (2015) 1, pp. 231-249

<Para ID="Par1">A discrepancy function provides for an evaluation of a candidate model by quantifying the disparity between the candidate model and the true model that generated the observed data. The favored model from a candidate class is the one judged to have minimum discrepancy with the true model. The...</para>

Persistent link: https://www.econbiz.de/10011241288

On the genetic algorithm with adaptive mutation rate and selected statistical applications

Pereira, André; Andrade, Bernardo - In: Computational Statistics 30 (2015) 1, pp. 131-150

changes in the mutation parameter is explored via test functions, ARIMA model selection and maximum likelihood estimation …

Persistent link: https://www.econbiz.de/10011241290

Variable selection after screening: with or without data splitting?

Zhu, Xiaoyi; Yang, Yuhong - In: Computational Statistics 30 (2015) 1, pp. 191-203

<Para ID="Par1">High dimensional data sets are now frequently encountered in many scientific fields. In order to select a sparse set of predictors that have predictive power and/or provide insightful understanding on which predictors really influence the response, a preliminary variable screening is typically...</para>

Persistent link: https://www.econbiz.de/10011241311

Robust spline-based variable selection in varying coefficient model

Feng, Long; Zou, Changliang; Wang, Zhaojun; Wei, Xianwu; … - In: Metrika 78 (2015) 1, pp. 85-118

The varying coefficient model is widely used as an extension of the linear regression model. Many procedures have been developed for the model estimation, and recently efficient variable selection procedures for the varying coefficient model have been proposed as well. However, those variable...

Persistent link: https://www.econbiz.de/10011151397

Direct calibration and comparison of agent-based herding models of financial markets

Barde, Sylvain - School of Economics, University of Kent - 2015

The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by...

Persistent link: https://www.econbiz.de/10011276604

Estimating the marginal abatement cost curve of CO2 emissions in China : provincial panel data analysis

Du, Limin; Hanley, Aoife; Wei, Chu - 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/10010472505

Model pooling and changes in the informational content of predictors : an empirical investigation for the euro area

Schwarzmüller, Tim - 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/10010472548

Incorporating views on marginal distributions in the calibration of risk models

Dey, Santanu; Juneja, Sandeep; Murthy, Karthyek R. A. - In: Operations research letters 43 (2015) 1, pp. 46-51

Persistent link: https://www.econbiz.de/10010486359