We study model selection for clustered data, when the focus is on cluster specific inference. Such data are often modelled using random effects, and conditional Akaike information was proposed in Vaida & Blanchard (2005) and used to derive an information criterion under linear mixed models. Here...

The rapid changes in the finance industry due to the increasing amount of data has revolutionized the techniques on data processing and data analysis and brought new theoretical and computational challenges. In contrast to classical stochastic control theory and other analytical approaches for...