Variable selection in regression models using nonstandard optimisation of information criteria
From MaRDI portal
Publication:1020778
DOI10.1016/j.csda.2007.04.006zbMath1452.62926OpenAlexW2069897430MaRDI QIDQ1020778
Publication date: 2 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2007.04.006
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Approximation methods and heuristics in mathematical programming (90C59)
Related Items
Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods ⋮ Bayesian variable selection in generalized linear models using a combination of stochastic optimization methods ⋮ Heuristic optimization methods for dynamic panel data model selection: application on the Russian innovative performance ⋮ Bayesian variable selection and model averaging in the arbitrage pricing theory model ⋮ Unbiased generalized quasi-regression ⋮ Modified versions of the Bayesian information criterion for sparse generalized linear models ⋮ Variable selection in STAR models with neighbourhood effects using genetic algorithms ⋮ Parsimonious periodic autoregressive models for time series with evolving trend and seasonality ⋮ Evolutionary Computation Methods and their applications in Statistics ⋮ Editorial: 2nd special issue on applications of optimization heuristics to estimation and modelling problems ⋮ Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables ⋮ Maximizing equity market sector predictability in a Bayesian time-varying parameter model ⋮ Maximum entropy and least square error minimizing procedures for estimating missing conditional probabilities in Bayesian networks ⋮ A new genetic algorithm in proteomics: feature selection for SELDI-TOF data
Uses Software
Cites Work
- Unnamed Item
- Global optimization of statistical functions with simulated annealing
- Computational aspects of algorithms for variable selection in the context of principal components
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Identification of multivariate AR-models by threshold accepting
- Money as a medium of exchange in an economy with artificially intelligent agents
- Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process
- Applications of optimization heuristics to estimation and modelling problems
- Efficient algorithms for computing the best subset regression models for large-scale problems
- Estimating the dimension of a model
- Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
- Solving irregular econometric and mathematical optimization problems with a genetic hybrid algorithm
- Information criteria for selecting possibly misspecified parametric models
- A note on modelling core inflation for the UK using a new dynamic factor estimation method and a large disaggregated price index dataset
- Efficient strategies for deriving the subset VAR models
- Cooling Schedules for Optimal Annealing
- Selection of the order of an autoregressive model by Akaike's information criterion
- On the Convergence and Applications of Generalized Simulated Annealing
- Dynamic Econometrics
- SELECTING THE RANK OF THE COINTEGRATION SPACE AND THE FORM OF THE INTERCEPT USING AN INFORMATION CRITERION
- Optimal Lag Structure Selection in VEC-Models
- Benchmark priors for Bayesian model averaging.
- Optimized multivariate lag structure selection
- Computer automation of general-to-specific model selection procedures
