COMISEF Tutorial on Statistical Model Selection
Bayesian model selection
| Wednesday 28th October 2009 (Room 1, Venue hotel Grand Resort, Limassol. ) | |
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09:00 - 10:45 |
Cathy Chen: Bayesian model selection |
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10:45 - 11:15 |
Coffee Break |
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11:15 - 12:30 |
Cathy Chen: Bayesian model selection |
Bayesian model selection I
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An Overview of Bayesian Theory
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Bayesian Computation via Markov chain Monte Carlo (MCMC) methods
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Gibbs Sampler
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Multiple regression
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Bayes factor
Additional material
R packageS: MCMCpack
R codes: Bayes_factors.txt, usedcar.txt
Bayesian model selection II
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MCMC algorithm - Metropolis-Hastings algorithms
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Threshold autoregressive (TAR) models
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Deviance Information Criterion (DIC)
Additional material
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.
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MCMC algorithm - Metropolis-Hastings algorithms
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Threshold heteroscedastic models
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Model selection
- Importance sampling
-Reversible-jump (RJ) MCMC method
-Direct posterior model probability estimation
Miscellaneous
A few references on Bayesian model selection
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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. Downloadl 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.