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Dokumenttyp:
Masterarbeit
Autor(en):
Kobler, Stefanie
Titel:
Vuong Test for Model Selection and its Application to Machine Learning
Abstract:
This master thesis aims at deriving, discussing and comparing the Vuong Test for model selection as well as three modifications for it. On the one hand, we compare the test strategies theoretically with respect to the assumptions required for their application as well as their asymptotic size. On the other hand, we evaluate the test strategies with respect to their performance regarding various applications. For this purpose, several examples are examined within a simulation study. We will highl...     »
Aufgabensteller:
Prof. Dr. Matthias Scherer
Betreuer:
Florian Brück
Jahr:
2021
Hochschule / Universität:
Technische Universität München
Fakultät:
Fakultät für Mathematik
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Bearbeitungsbeginn:
01.11.2021
Bearbeitungsende:
08.04.2022
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