Search Results - subject:"Model selection criterion"

Selecting between causal and noncausal models with quantile autoregressions

Hecq, Alain W. J.; Sun, Li - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 393-416

Persistent link: https://www.econbiz.de/10012806552

A cumulative entropy method for distribution recognition of model error

Liang, Yingjie; Chen, Wen - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 729-735

–Smirnov test and root mean square deviation, the CEM provides alternative and powerful model selection criterion to recognize the …

Persistent link: https://www.econbiz.de/10011117866

Modeling dependencies in claims reserving with GEE

Hudecová, Šárka; Pešta, Michal - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 786-794

A common approach to the claims reserving problem is based on generalized linear models (GLM), where the claims in different origin and development years are assumed to be independent variables. If this is violated, the classical techniques may provide incorrect predictions of the claims...

Persistent link: https://www.econbiz.de/10011046616

Modeling dependencies in claims reserving with GEE

Hudecová, Šárka; Pešta, Michal - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 786-794

Persistent link: https://www.econbiz.de/10010227828

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit; Teräsvirta, Timo - 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10010281439

Determining the Number of Regimes in a Threshold Autoregressive Model Using Smooth Transition Autoregressions

Strikholm, Birgit; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005

comparison with two nested models using a model selection criterion is equivalent to a likelihood ratio test) may vary … nested models using an appropriate model selection criterion is equivalent to carrying out the likelihood ratio test, and in … some situations the significance level of the model selection criterion based test can be worked out; see, for instance …

Persistent link: https://www.econbiz.de/10005649220