Identificador persistente para citar o vincular este elemento: http://hdl.handle.net/10553/48005
Título: Model selection using data mining
Autores/as: Fernández Rodríguez, Fernando 
Andrada Félix, Julián 
Acosta González, Eduardo 
Clasificación UNESCO: 5302 Econometría
Palabras clave: Datos
Modelos económetricos
Fecha de publicación: 2010
Publicación seriada: Data Mining and Management
Resumen: In this chapter, a new simple procedure for selecting econometric models is provided. It is based on a heuristic approach, called genetic algorithms, which are used to explore the universe of models made available by a general unrestricted model. This search process for the correct model is guided only by the Schwarz information criterion, which acts as the loss function of the genetic algorithm in order to rank the models. This procedure shows good performance relative to other alternative methodologies. A specific example in the world of finance, which shows how to select a tracking portfolio of the IBEX35 Spanish stock market index, is provided.
URI: http://hdl.handle.net/10553/48005
ISBN: 9781607412892
Fuente: Data Mining and Management, p. 159-174
Colección:Capítulo de libro
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