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GENERALIZED INFORMA...
GENERALIZED INFORMATION CRITERIA FOR SPARSE STATISTICAL JUMP MODELS
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- Cortese, Federico (författare)
- University of Milano-Bicocca
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- Kolm, Petter Nils (författare)
- New York University
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- Lindström, Erik (författare)
- Lund University,Lunds universitet,Finansiell matematik,Forskargrupper vid Lunds universitet,Matematisk statistik,Matematikcentrum,Institutioner vid LTH,Lunds Tekniska Högskola,Financial Mathematics Group,Lund University Research Groups,Mathematical Statistics,Centre for Mathematical Sciences,Departments at LTH,Faculty of Engineering, LTH
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Linde, Peter (redaktör/utgivare)
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(creator_code:org_t)
- 2023
- 2023
- Engelska.
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Ingår i: Symposium i anvendt statistik 2023. - 9788798937036 ; , s. 68-78
- Relaterad länk:
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http://www.statistik... (free)
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https://lup.lub.lu.s...
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Abstract
Ämnesord
Stäng
- We extend the generalized information criteria for high-dimensional penalizedmodels to sparse statistical jump models, a new class of statistically robust and computationally efficient alternatives to hidden Markov models. In a simulation study, we demonstrate that the new generalized information criteria selects the correct hyperparameters with high probability. Finally, providing an empirical application, we infer the key features that drive the return dynamics of the largest cryptocurrencies. We find that a four-state model best describes the dynamics of cryptocurrency returns. The states have natural market-based interpretations as they correspond to bull, bull-neutral, bear-neutral, and bear market regimes, respectively.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Publikations- och innehållstyp
- kap (ämneskategori)
- ref (ämneskategori)
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