Showing 1 - 7 of 7
I show how to find the uniform prior implicit in using the Bayesian Information Criterion to consider a hypothesis about a single normally distributed parameter. The ratio of the width of the implicit prior to the standard deviation of the parameter estimate is √2πn for large samples.
Persistent link: https://www.econbiz.de/10010757314
In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...
Persistent link: https://www.econbiz.de/10010331116
We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious than Akaike Information Criterion (AIC)?, and (ii) Is BIC better than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly...
Persistent link: https://www.econbiz.de/10011107307
In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...
Persistent link: https://www.econbiz.de/10010734526
Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change points is typically chosen by the...
Persistent link: https://www.econbiz.de/10008550205
Change-point models are useful for modeling times series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change-points is typically chosen by the...
Persistent link: https://www.econbiz.de/10008531437
In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...
Persistent link: https://www.econbiz.de/10010230559