Nonlinear dynamic predictive model selection and interference using information criteria

2017 ◽  
Author(s):  
Yuanlin Gu ◽  
Hua-Liang Wei ◽  
Michael A. Balikhin
Keyword(s):  
Model Selection ◽  
Predictive Model ◽  
Nonlinear Dynamic ◽  
Information Criteria

scholarly journals Model Selection Procedures in Bounds Test of Cointegration: Theoretical Comparison and Empirical Evidence

Economies ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 49 ◽  
Author(s):  
Waqar Badshah ◽  
Mehmet Bulut
Keyword(s):  
Model Selection ◽  
Akaike Information Criterion ◽  
Bayesian Information Criterion ◽  
Selection Process ◽  
Information Criterion ◽  
Small Sample ◽  
Information Criteria ◽  
Path Model ◽  
Sample Sizes ◽  
Bounds Test

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely used information criteria {Akaike Information Criterion (AIC), Akaike Information Criterion Corrected (AICC), Schwarz/Bayesian Information Criterion (SIC/BIC), Schwarz/Bayesian Information Criterion Corrected (SICC/BICC), and Hannan and Quinn Information Criterion (HQC)} and three structured approaches (Forward Selection, Backward Elimination, and Stepwise) by assessing their size and power properties at different sample sizes based on Monte Carlo simulations, and second was the assessment of the same based on real economic data. The second aim was achieved by the evaluation of the long-run relationship between three pairs of macroeconomic variables, i.e., Energy Consumption and GDP, Oil Price and GDP, and Broad Money and GDP for BRICS (Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information criteria and structured procedures have the same powers for a sample size of 50 or greater. However, BICC and Stepwise are better at small sample sizes. In the light of simulation and real data results, a modified Bounds test with Stepwise model selection procedure may be used as it is strongly theoretically supported and avoids noise in the model selection process.

scholarly journals PREDICTIVE MODEL SELECTION CRITERIA FOR BAYESIAN LASSO REGRESSION

2015 ◽  
Vol 28 (1) ◽  
pp. 67-82 ◽  
Author(s):  
Shuichi Kawano ◽  
Ibuki Hoshina ◽  
Kaito Shimamura ◽  
Sadanori Konishi
Keyword(s):  
Model Selection ◽  
Predictive Model ◽  
Selection Criteria ◽  
Lasso Regression ◽  
Bayesian Lasso ◽  
Model Selection Criteria

scholarly journals Using Model Selection Criteria to Choose the Number of Principal Components

2021 ◽  
Vol 20 (3) ◽  
pp. 450-461
Author(s):  
Stanley L. Sclove
Keyword(s):  
Model Selection ◽  
Principal Components ◽  
Bayesian Information Criterion ◽  
Selection Criteria ◽  
Information Criterion ◽  
Information Criteria ◽  
Akaike's Information Criterion ◽  
Model Selection Criteria ◽  
Adequate Number ◽  
Number Of Principal Components

AbstractThe use of information criteria, especially AIC (Akaike’s information criterion) and BIC (Bayesian information criterion), for choosing an adequate number of principal components is illustrated.

A COMPARISON OF NEURAL NETWORK MODEL SELECTION STRATEGIES FOR THE PRICING OF S&P 500 STOCK INDEX OPTIONS

2007 ◽  
Vol 16 (06) ◽  
pp. 1093-1113 ◽  
Author(s):  
N. S. THOMAIDIS ◽  
V. S. TZASTOUDIS ◽  
G. D. DOUNIAS
Keyword(s):  
Neural Network ◽  
Model Selection ◽  
Network Model ◽  
Neural Network Model ◽  
Information Criteria ◽  
Stock Index ◽  
Statistical Hypothesis ◽  
Neural Network Models ◽  
Index Options ◽  
Pruning Technique

This paper compares a number of neural network model selection approaches on the basis of pricing S&P 500 stock index options. For the choice of the optimal architecture of the neural network, we experiment with a “top-down” pruning technique as well as two “bottom-up” strategies that start with simple models and gradually complicate the architecture if data indicate so. We adopt methods that base model selection on statistical hypothesis testing and information criteria and we compare their performance to a simple heuristic pruning technique. In the first set of experiments, neural network models are employed to fit the entire options surface and in the second they are used as parts of a hybrid intelligence scheme that combines a neural network model with theoretical option-pricing hints.

scholarly journals Learning Coefficient of Vandermonde Matrix-Type Singularities in Model Selection

Entropy ◽  
2019 ◽  
Vol 21 (6) ◽  
pp. 561
Author(s):  
Miki Aoyagi
Keyword(s):  
Model Selection ◽  
Information Criteria ◽  
Learning Systems ◽  
Vandermonde Matrix ◽  
Selection Methods ◽  
Learning Models ◽  
Matrix Type ◽  
Log Canonical Threshold ◽  
Log Canonical ◽  
Blowing Up

In recent years, selecting appropriate learning models has become more important with the increased need to analyze learning systems, and many model selection methods have been developed. The learning coefficient in Bayesian estimation, which serves to measure the learning efficiency in singular learning models, has an important role in several information criteria. The learning coefficient in regular models is known as the dimension of the parameter space over two, while that in singular models is smaller and varies in learning models. The learning coefficient is known mathematically as the log canonical threshold. In this paper, we provide a new rational blowing-up method for obtaining these coefficients. In the application to Vandermonde matrix-type singularities, we show the efficiency of such methods.

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