We propose a consistent criterion for model order selection in the model identification phase of time series and regression, based on a weighted average of an asymptotically efficient selection criterion, AICC (bias-corrected Akaike information criterion) and a consistent selection criterion, BIC (A
A Bayesian approach to model selection in stochastic coefficient regression models and structural time series models
β Scribed by Thomas S. Shively; Robert Kohn
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 871 KB
- Volume
- 76
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This research compares derivative pricing model and statistical time-series approaches to hedging. The finance literature stresses the former approach, while the applied economics literature has focused on the latter. We compare the out-of-sample hedging effectiveness of the two approaches when hedg
In vitro-in vivo correlation (IVIVC) models for formulation series are useful in drug development, but the current models are limited by their inability to include data variability in the predictions. Our goal was to develop a level A IVIVC model that provides predictions with probabilities. The Bay