Computer intensive techniques for model selection

buir.supervisorZaman, Asad
dc.contributor.authorBaşçı, Sıdıka
dc.date.accessioned2016-01-08T20:20:22Z
dc.date.available2016-01-08T20:20:22Z
dc.date.copyright1998
dc.date.issued1998
dc.descriptionAnkara : Department of Economics and Institute of Economics and Social Sciences, Bilkent Univ., 1998.en_US
dc.descriptionThesis (Ph.D.) -- Bilkent University, 1998.en_US
dc.descriptionIncludes bibliographical references (leaves 50-54).en_US
dc.descriptionCataloged from PDF version of article.
dc.description.abstractThere are three essays in this dissertation. In the first one, which appears in Chapter 2, a comparison of finite sample performances of six model selection criteria for Autoregressive (AR) processes exists. Simulation results report the effects of being parsimonious while selecting the model on forecasting. Moreover, in the chapter the assumption of normality, which can be seen in all of the previous theoretical and emprical studies, is relaxed and performances of the criteria under non-normal distributions are investigated. The second essay is presented in Chapter 3. In this essay three new model selection criteria are suggested where cross-validated estimates of variances are used. In the chapter, a comparison of the finite sample performances of these new criteria with the already existing ones is presented. The main concern of the third essay, that appears in Chapter 4, is detecting structural change when the change point is unknown. In the chapter, we derive some Bayesian tests to detect structural change with unknown change point under the assumptions of different prior distributions.
dc.description.provenanceMade available in DSpace on 2016-01-08T20:20:22Z (GMT). No. of bitstreams: 1 1.pdf: 78510 bytes, checksum: d85492f20c2362aa2bcf4aad49380397 (MD5)en
dc.description.statementofresponsibilityby Sıdıka Başçıen_US
dc.format.extentvii, 62 leaves : charts ; 30 cm.en_US
dc.identifier.itemidBILKUTUPB042586
dc.identifier.urihttp://hdl.handle.net/11693/18556
dc.language.isoEnglishen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectModel selection
dc.subjectAutoregressive processes
dc.subjectLag order determination
dc.subjectForecasting
dc.subjectCross-validation
dc.subjectStructural change
dc.subjectUnknown change point
dc.subjectBayesian approach
dc.titleComputer intensive techniques for model selectionen_US
dc.title.alternativeModel belirlenmesi amacında kullanılan bilgisayar yoğunluklu teknikler
dc.typeThesisen_US
thesis.degree.disciplineEconomics
thesis.degree.grantorBilkent University
thesis.degree.levelDoctoral
thesis.degree.namePh.D. (Doctor of Philosophy)

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