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An Application of Multiple Comparison Techniques to Model Selection

Shimodaira, Hidetoshi - In: Annals of the Institute of Statistical Mathematics 50 (1998) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10005395825

A first econometric analysis of the CRIX family

Chen, Shi; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang Karl; … - 2016

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...

Persistent link: https://www.econbiz.de/10011580429

The cross-section of crypto-currencies as financial assets: An overview

Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, … - 2016

Crypto-currencies have developed a vibrant market since bitcoin, the rst crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information...

Persistent link: https://www.econbiz.de/10011580436

Model selection criteria in the presence of missing data based on the Kullback-Leibler discrepancy

Sparks, JonDavid - 2009

An important challenge in statistical modeling involves determining an appropriate structural form for a model to be used in making inferences and predictions. Missing data is a very common occurrence in most research settings and can easily complicate the model selection problem. Many useful...

Persistent link: https://www.econbiz.de/10009466074

A practical, universal, information criterion over Nth order Markov processes

Barde, Sylvain - 2015

(AIC) in its theoretical derivation and yet can be applied to any model able to generate simulated or predicted data …, regardless of its methodology. Both the AIC and proposed UIC rely on the Kullback-Leibler (KL) distance between model predictions … and real data as a measure of prediction accuracy. Instead of using the maximum likelihood approach like the AIC, the …

Persistent link: https://www.econbiz.de/10011445288