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Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-09-13)
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-03-29)
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
Modeling the portfolio selection problem with constraint programming
(Springer Verlag, 2013)
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2011-01-27)
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-02-05)
We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ...
lme4GS: an R-Package for Genomic Selection
(Frontiers, 2021)
Automatic model selection for forecasting Brazilian stock returns
(2015-03-27)
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
An oracle approach for interaction neighborhood estimation in random fields
(INST MATHEMATICAL STATISTICS, 2011)
We consider the problem of interaction neighborhood estimation from the partial observation of a finite number of realizations of a random field. We introduce a model selection rule to choose estimators of conditional ...
Seleção de covariância para o modelo grafo gaussiano via reversible jump
(Universidade Federal de São CarlosUFSCarPrograma Interinstitucional de Pós-Graduação em Estatística - PIPGEsCâmpus São Carlos, 2023-02-24)
The purpose of the Graphical Gaussian model is to find the covariance structure that represents the relationship between random variables, whose joint distribution is a multivariate normal. This is a tool used to modeling ...