| Name : R-uotm
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| Version : 0.1.6
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp155.4.1
| Date : 2024-06-20 21:50:35
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| Group : Development/Libraries/Other
| Source RPM : R-uotm-0.1.6-lp155.4.1.src.rpm
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| Size : 0.04 MB
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| Packager : https://www_suse_com/
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| Summary : Uncertainty of Time Series Model Selection Methods
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Description :
We propose a new procedure, called model uncertainty variance, which
can quantify the uncertainty of model selection on Autoregressive
Moving Average models. The model uncertainty variance not pay attention
to the accuracy of prediction, but focus on model selection uncertainty
and providing more information of the model selection results. And to
estimate the model measures, we propose an simplify and faster
algorithm based on bootstrap method, which is proven to be effective
and feasible by Monte-Carlo simulation. At the same time, we also made
some optimizations and adjustments to the Model Confidence Bounds
algorithm, so that it can be applied to the time series model selection
method. The consistency of the algorithm result is also verified by
Monte-Carlo simulation. We propose a new procedure, called model
uncertainty variance, which can quantify the uncertainty of model
selection on Autoregressive Moving Average models. The model
uncertainty variance focuses on model selection uncertainty and
providing more information of the model selection results. To estimate
the model uncertainty variance, we propose an simplified and faster
algorithm based on bootstrap method, which is proven to be effective
and feasible by Monte-Carlo simulation. At the same time, we also made
some optimizations and adjustments to the Model Confidence Bounds
algorithm, so that it can be applied to the time series model selection
method. The consistency of the algorithm result is also verified by
Monte-Carlo simulation. Please see Li,Y., Luo,Y., Ferrari,D., Hu,X. and
Qin,Y. (2019) Model Confidence Bounds for Variable Selection.
Biometrics, 75:392-403.< DOI:10.1111/biom.13024> for more information.
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RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/15.5/x86_64 |
