scholarly journals A Class of Multivariate Micromovement Models of Asset Price and Their Bayesian Model Selection via Filtering

2008 ◽  
pp. 123-136
Author(s):  
Laurie C. Scott ◽  
Yong Zeng
Keyword(s):  
Model Selection ◽  
Bayesian Model ◽  
Asset Price ◽  
Bayesian Model Selection

BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE

2005 ◽  
Vol 08 (01) ◽  
pp. 97-121 ◽  
Author(s):  
MICHAEL A. KOURITZIN ◽  
YONG ZENG
Keyword(s):  
Model Selection ◽  
Bayesian Model ◽  
Bayes Factor ◽  
Recursive Algorithm ◽  
Asset Price ◽  
Real Data ◽  
Bayesian Model Selection ◽  
Markov Chain Approximation ◽  
Movement Models ◽  
Chain Approximation

This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain approximation method to yield a recursive algorithm. We prove the consistency (or robustness) of the recursive algorithm. To illustrate the construction of such a recursive algorithm, we consider a model selection problem for two micro-movement models with and without stochastic volatility, and provide simulation and real-data examples to demonstrate the effectiveness of the Bayes factor in the model selection for this class of models.

scholarly journals Bayesian model selection on scalar ε -field dark energy

2021 ◽  
Vol 103 (4) ◽  
Author(s):  
J. Alberto Vázquez ◽  
David Tamayo ◽  
Anjan A. Sen ◽  
Israel Quiros
Keyword(s):  
Dark Energy ◽  
Model Selection ◽  
Bayesian Model ◽  
Bayesian Model Selection

scholarly journals Accounting for cell lineage and sex effects in the identification of cell-specific DNA methylation using a Bayesian model selection algorithm

PLoS ONE ◽  
2017 ◽  
Vol 12 (9) ◽  
pp. e0182455 ◽  
Author(s):  
Nicole White ◽  
Miles Benton ◽  
Daniel Kennedy ◽  
Andrew Fox ◽  
Lyn Griffiths ◽  
...  
Keyword(s):  
Dna Methylation ◽  
Model Selection ◽  
Bayesian Model ◽  
Cell Lineage ◽  
Bayesian Model Selection ◽  
Selection Algorithm ◽  
Sex Effects

Objective Bayesian model selection in Gaussian graphical models

Biometrika ◽  
2009 ◽  
Vol 96 (3) ◽  
pp. 497-512 ◽  
Author(s):  
C. M. Carvalho ◽  
J. G. Scott
Keyword(s):  
Model Selection ◽  
Graphical Models ◽  
Bayesian Model ◽  
Bayesian Model Selection ◽  
Gaussian Graphical Models

scholarly journals Bayesian Model Selection for Genome-Wide Epistatic Quantitative Trait Loci Analysis

Genetics ◽  
2005 ◽  
Vol 170 (3) ◽  
pp. 1333-1344 ◽  
Author(s):  
Nengjun Yi ◽  
Brian S. Yandell ◽  
Gary A. Churchill ◽  
David B. Allison ◽  
Eugene J. Eisen ◽  
...  
Keyword(s):  
Quantitative Trait Loci ◽  
Model Selection ◽  
Quantitative Trait ◽  
Bayesian Model ◽  
Bayesian Model Selection ◽  
Genome Wide ◽  
Trait Loci ◽  
Selection For
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