A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models.
Yong LiZhong-Xin NiJin-Guan LinPublished in: Commun. Stat. Simul. Comput. (2011)
Keyphrases
- model selection
- stochastic simulation
- cross validation
- parameter estimation
- regression model
- hyperparameters
- model selection criteria
- sample size
- mixture model
- statistical inference
- machine learning
- feature selection
- information criterion
- gaussian process
- statistical models
- reinforcement learning
- marginal likelihood
- training set
- bayesian framework
- graphical models
- experimental data
- pairwise
- complex systems
- high dimensional
- probabilistic model
- support vector machine