منابع مشابه
An Akaike Information Criterion for Model Selection in the Presence of Incomplete Data Title: an Aic for Model Selection with Incomplete Data
We derive and investigate a variant of AIC, the Akaike information criterion, for model selection in settings where the observed data is incomplete. Our variant is based on the motivation provided for the PDIO (\predictive divergence for incomplete observation models") criterion of Shimodaira variant diiers from PDIO in its \goodness-of-t" term. Unlike AIC and PDIO, which require the computatio...
متن کاملAn improved Akaike information criterion for state-space model selection
Following the work of Hurvich, Shumway, and Tsai (1990), we propose an “improved” variant of the Akaike information criterion, AICi, for state-space model selection. The variant is based on Akaike’s (1973) objective of estimating the Kullback-Leibler information (Kullback 1968) between the densities corresponding to the fitted model and the generating or true model. The development of AICi proc...
متن کاملA Bootstrap Variant of Aic for State-space Model Selection
Following in the recent work of Hurvich and Tsai (1989, 1991, 1993) and Hurvich, Shumway, and Tsai (1990), we propose a corrected variant of AIC developed for the purpose of small-sample state-space model selection. Our variant of AIC utilizes bootstrapping in the state-space framework (Stoffer and Wall (1991)) to provide an estimate of the expected Kullback-Leibler discrepancy between the mode...
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The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output com...
متن کاملSemiparametric and Additive Model Selection Using an Improved Akaike Information Criterion
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ژورنال
عنوان ژورنال: Psychonomic Bulletin & Review
سال: 2004
ISSN: 1069-9384,1531-5320
DOI: 10.3758/bf03206482