Bayesian Variable Selection for High Dimensional Data Analysis: methods and Applications - Brossura

Aijun, Yang

Brossura

ISBN 10: 3846505714 ISBN 13: 9783846505717

Casa editrice: LAP LAMBERT Academic Publishing, 2011

Riassunto

In the practice of statistical modeling, it is often desirable to have an accurate predictive model. Modern data sets usually have a large number of predictors.Hence parsimony is especially an important issue. Best-subset selection is a conventional method of variable selection. Due to the large number of variables with relatively small sample size and severe collinearity among the variables, standard statistical methods for selecting relevant variables often face difficulties. Bayesian stochastic search variable selection has gained much empirical success in a variety of applications. This book, therefore, proposes a modified Bayesian stochastic variable selection approach for variable selection and two/multi-class classification based on a (multinomial) probit regression model.We demonstrate the performance of the approach via many real data. The results show that our approach selects smaller numbers of relevant variables and obtains competitive classification accuracy based on obtained results.

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L'autore

Dr. Yang Aijun: Assiatant Professor and CFA, School of Finance, Nanjing Audit University; Ph.D, The Chinese University of Hong Kong. Yang's research interests include Stock Return Predictability, Portfolio Selection, Financial Risk Management and Variable Selection.

Dettagli dell'edizione

• Editore: LAP LAMBERT Academic Publishing
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 3846505714
• ISBN 13: 9783846505717
• Rilegatura: Copertina flessibile
• Numero di pagine: 92
• Contatto del produttore: non disponibile
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