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  • 标题:Sequential Variable Selection as Bayesian Pragmatism in Linear Factor Models
  • 本地全文:下载
  • 作者:John Knight ; Stephen Satchell ; Jessica Qi Zhang
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2013
  • 卷号:3
  • 期号:1A
  • 页码:230-236
  • DOI:10.4236/jmf.2013.31A022
  • 出版社:Scientific Research Publishing
  • 摘要:We examine a popular practitioner methodology used in the construction of linear factor models whereby particular factors are increased or decreased in relative importance within the model. This allows model builders to customise models and, as such, reflect those factors that the client and modeller may think important. We call this process Pragmatic Bayesianism (or prag-Bayes for short) and we provide analysis which shows when such a procedure is likely to be successful.
  • 关键词:Linear Factor Models; Bayesian Statistics; Sequential Regression
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