Uncovering and Treating Unobserved Heterogeneity with FIMIX-PLS: Which Model Selection Criterion Provides an Appropriate Number of Segments?

2011 ◽  
Vol 63 (1) ◽  
pp. 34-62 ◽  
Author(s):  
Marko Sarstedt ◽  
Jan-Michael Becker ◽  
Christian M. Ringle ◽  
Manfred Schwaiger
Keyword(s):  
Model Selection ◽  
Unobserved Heterogeneity ◽  
Selection Criterion ◽  
Model Selection Criterion ◽  
Number Of Segments

scholarly journals Quantifying Drivers of Forecasted Returns Using Approximate Dynamic Factor Models for Mixed-Frequency Panel Data

Forecasting ◽  
2021 ◽  
Vol 3 (1) ◽  
pp. 56-90
Author(s):  
Monica Defend ◽  
Aleksey Min ◽  
Lorenzo Portelli ◽  
Franz Ramsauer ◽  
Francesco Sandrini ◽  
...  
Keyword(s):  
Panel Data ◽  
Model Selection ◽  
Estimation Method ◽  
Selection Criterion ◽  
Factor Models ◽  
Dynamic Factor ◽  
Dynamic Factor Models ◽  
Mixed Frequency ◽  
Model Selection Criterion ◽  
Mixed Frequency Data

This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two expectation-maximization algorithms and uses conditional factor moments in closed form. To determine the unknown factor dimension and autoregressive order, we propose a two-step information-based model selection criterion. The performance of our estimation procedure and the model selection criterion is investigated within a Monte Carlo study. Finally, we apply the Approximate Dynamic Factor Model to real-economy vintage data to support investment decisions and risk management. For this purpose, an autoregressive model with the estimated factor span of the mixed-frequency data as exogenous variables maps the behavior of weekly S&P500 log-returns. We detect the main drivers of the index development and define two dynamic trading strategies resulting from prediction intervals for the subsequent returns.

Gradient-Based Optimization of Hyperparameters

2000 ◽  
Vol 12 (8) ◽  
pp. 1889-1900 ◽  
Author(s):  
Yoshua Bengio
Keyword(s):  
Model Selection ◽  
Selection Criterion ◽  
Cholesky Decomposition ◽  
Machine Learning Algorithms ◽  
Implicit Function ◽  
Trial And Error ◽  
Model Selection Criterion ◽  
Second Derivatives ◽  
Gradient Based ◽  
Derivatives Of

Many machine learning algorithms can be formulated as the minimization of a training criterion that involves a hyperparameter. This hyperparameter is usually chosen by trial and error with a model selection criterion. In this article we present a methodology to optimize several hyper-parameters, based on the computation of the gradient of a model selection criterion with respect to the hyperparameters. In the case of a quadratic training criterion, the gradient of the selection criterion with respect to the hyperparameters is efficiently computed by backpropagating through a Cholesky decomposition. In the more general case, we show that the implicit function theorem can be used to derive a formula for the hyper-parameter gradient involving second derivatives of the training criterion.

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