Model selection in sparse high-dimensional vine copula models with an application to portfolio risk.
Thomas NaglerC. BumannClaudia CzadoPublished in: J. Multivar. Anal. (2019)
Keyphrases
- model selection
- high dimensional
- cross validation
- parameter estimation
- hyperparameters
- variable selection
- sample size
- statistical inference
- regression model
- bayesian learning
- bayesian methods
- mixture model
- information criterion
- statistical learning
- high dimensional data
- model selection criteria
- feature selection
- gaussian process
- generalization error
- machine learning
- leave one out cross validation
- marginal likelihood
- bayesian information criterion
- error estimation
- learning algorithm
- kernel matrix
- linear regression
- dimension reduction
- statistical model
- low dimensional
- probabilistic model
- bayesian model selection