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A Bayesian Information Criterion for Portfolio Selection
Bayesian Information Criterion Minimal Variance Portfolio Portfolio Selection Risk Diversification Selection Consistency
2016/1/19
The mean-variance theory of Markowitz (1952) indicates that large invest-ment portfolios naturally provide better risk diversification than small ones.However, due to parameter estimation errors, one ...
A Widely Applicable Bayesian Information Criterion
Bayes marginal likelihood Widely applicable Bayes Information Criterion
2012/9/18
A statistical model or a learning machine is called regular if the map taking a pa-rameter to a probability distribution is one-to-one and if its Fisher information matrix is always positive definite....