COMISEF Tutorial on Statistical Model Selection

Bayesian model selection

Dr. Cathy W. S. Chen
Graduate Institute of Applied Statistics
Feng Chia University
TEL: 24517250 ext 4412
Email: Chenws@fcu.edu.tw
Website: http://myweb.fcu.edu.tw/~chenws/

 

Wednesday 28th October 2009 (Room 1, Venue hotel Grand Resort, Limassol. )
 

09:00 - 10:45

    Cathy Chen: Bayesian model selection

10:45 - 11:15

    Coffee Break

11:15 - 12:30

    Cathy Chen: Bayesian model selection

Lecture 1

Bayesian model selection I

  • An Overview of Bayesian Theory

  • Bayesian Computation via Markov chain Monte Carlo (MCMC) methods

  • Gibbs Sampler

  • Multiple regression

  • Bayes factor

Additional material

R packageS: MCMCpack

R codes: Bayes_factors.txt, usedcar.txt

  Lecture 2

Bayesian model selection II

  • MCMC algorithm -  Metropolis-Hastings algorithms

  • Threshold autoregressive (TAR) models

  • Deviance Information Criterion (DIC)

Additional material

R package: BAYSTAR, coda

R code: BAYSTAR_unemp.txt

Chen C. W. S., Lin, A. M. H., Liu, F. C., and Gerlach, R. (2008)  Bayesian estimation for parsimonious threshold autoregressive models in R, the Newsletter of the R project, 8, 26-33. Download

Chen, C. W. S. and Lee, J. C. (1995) Bayesian inference of threshold autoregressive models.   Journal of Time Series Analysis, 16, 483-492.

 

Lecture 3

 

Lecture 3B

Bayesian model selection III
  • MCMC algorithm -  Metropolis-Hastings algorithms

  • Threshold heteroscedastic models

  • Model selection

    - Importance sampling

    -Reversible-jump (RJ) MCMC method

    -Direct posterior model probability estimation

   

Miscellaneous

The R project

 

A few references on Bayesian model selection

Download

l          Chen C. W. S., Gerlach, R., Choy, B. and Lin, C.  (2009) Estimation and inference for exponential smooth transition nonlinear volatility models, forthcoming, Journal of Statistical Planning and Inference, doi:10.1016/j.jspi.2009.09.002.  Download

l          Chen C. W. S., Gerlach, R., and Lin, A. M. H. (2009) Multi-regime nonlinear capital asset pricing models, forthcoming, Quantitative Finance. Download

l          Chen C. W. S., Gerlach, R., and Lin, A. M. H. (2009) Falling and explosive, dormant and rising markets via multiple-regime financial time series models, forthcoming, Applied Stochastic Models in Business and Industry Download

l          Chen, C. W. S., So, M. K. P., and Lin, E. M. H. (2009) Volatility forecasting with double Markov switching GARCH models, forthcoming, Journal of Forecasting. DOI: 10.1002/for.1119. Download

l          Gerlach, R. and Chen, C. W. S. (12/2008) Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models, Statistics and Computing, 18, 391-408.

l          Chen, C. W. S., Gerlach, R., and So, M. K. P. (2008) Bayesian model selection for heteroskedastic models, Advances in Econometrics, 23, Special Issue on Bayesian Econometrics, 567-94.  Download

l          Chen C. W. S., Gerlach, R., and Tai, A. P. J. (2008) Testing for nonlinearity in mean and volatility for heteroskedastic models, Mathematics and Computers in Simulation. 79, 489-499.

l          Chen, C. W. S., Gerlach, R., and Lin, E. M. H. (2008) Volatility forecast using threshold heteroskedastic models of the intra-day range, Computational Statistics & Data Analysis, on Statistical & Computational Methods in Finance, 52, 2990-3010.

l          So, M. K. P., Chen, C. W. S., Lee, J. Y., and Chang, Y. P. (2008) An empirical evaluation of fat-tailed distributions in modeling financial time series, Mathematics and Computers in Simulation, 77, 96-108.

l          So, M. K. P, Chen, C. W. S., Chiang, T. C. and Lin, D. S. Y. (2007) Modeling financial time Series with threshold nonlinearity in returns and trading volume, Applied Stochastic Models in Business and Industry, 23, 319-338

l          Chen, C. W. S., Gerlach, R. H., and So, M. K. P. (2006) Comparison of nonnested asymmetric heteroscedastic models, Computational Statistics & Data Analysis, a special issue on Nonlinear Modelling and Financial Econometrics, 51, 2164-2178.

l          Lee, S.-M., Chen, C. W. S., Gerlach, R. H., and Hwang, L.-H.  (2006)  Estimation in Ricker's two-release method: a Bayesian approach, Australian & New Zealand Journal of Statistics, 48, 157-169.

l          Gerlach, R., Chen, C. W. S, Lin, D. S.Y., and Huang, M. H.  (2006) Asymmetric responses of international stock markets to trading volume, Physica A - Statistical Mechanics And Its Applications, 360, 422-444.

l          Chen, C. W. S. and So, M. K. P. (2006) On a threshold heteroscedastic model.  International Journal of Forecasting, 22, 73-89.

l          Chen, C. W. S., So, M. K. P., and, Gerlach, R. H.  (2005)  Assessing and testing for threshold nonlinearity in stock returns, Australian & New Zealand Journal of Statistics, 47, 473-488.

l          So, M. K. P., Chen, C. W. S., Chen, M. T. (2005) A Bayesian threshold nonlinearity test in financial time series,   Journal of Forecasting, 24, 61-75.