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Asymptotic properties of model selection procedures in linear regression

Droge, Bernd (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919491

Nonparametric specification testing for continuous-time models with application to spot interest rates

Hong, Yongmiao; Li, Haitao - 2002

We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...

Persistent link: https://www.econbiz.de/10009621413

An exponential model for dependent defaults

Giesecke, Kay - 2002

A thorough understanding of the joint default behavior of credit-risky securities is essential for credit risk measurement as well as the valuation of multi-name credit derivatives and Collateralized Debt Obligations. In this paper we study a simple and tractable intensity-based model for...

Persistent link: https://www.econbiz.de/10009625801

A model specification test

Bartels, Knut - 1998

A general model specification test of a parametric model against a nonparametric or semiparametric alternative is studied. The test statistic employs a fixed kernel, not varying by a bandwidth. This test is proved to be consistent, the asymptotic distribution is derived and shown to be...

Persistent link: https://www.econbiz.de/10009578557

Comparison of model reduction methods for VAR processes

Brüggemann, Ralf; Krolzig, Hans-Martin; Lütkepohl, Helmut - 2002

indicating a clear advantage of the PcGets algorithm. -- vector autoregression ; model selection ; subset model ; lag order …

Persistent link: https://www.econbiz.de/10009627281

Measures for the structure of clustering and admissibilities of its algorithm

Takeuchi, Akinobu; Yadohisa, Hiroshi; Inada, Koichi - 2001

The problem of selecting a clustering algorithm from the myriad of algorithms has been discussed in recent years. Many … clustering result. New admissibilities of the clustering algorithm and a new agglomerative hierarchical clustering algorithm are …. -- structure ; admissibility ; AHCA (agglomerative hierarchical clustering algorithm) …

Persistent link: https://www.econbiz.de/10009615418