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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....
Akaike Information Criterion for Selecting Components of the Mean Vector in High Dimensional Data with Fewer Observations
Akaike information criterion high correlation high dimensional model ridge estimator selection of means
2009/3/5
The Akaike information criterion (AIC) has been successfully used in the literature in model selection when there are a small number of parameters p and a large number of observations N. The cases whe...
Bayesian Model Averaging and Bayesian Predictive Information Criterion for Model Selection
Bayesian model averaging Bayesian predictive information criterion Markov chain Monte Carlo
2009/3/5
The problem of evaluating the goodness of the predictive distributions developed by the Bayesian model averaging approach is investigated. Considering the maximization of the posterior mean of the exp...
A Robust and Diagnostic Information Criterion for Selecting Regression Models
AIC Cp Forward Search outliers
2009/3/5
We combine the selection of a statistical model with the robust parameter estimation and diagnostic properties of the Forward Search. As a result we obtain procedures that select the best model in the...