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Document type:
Masterarbeit
Author(s):
Kobler, Stefanie
Title:
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...     »
Supervisor:
Prof. Dr. Matthias Scherer
Advisor:
Florian Brück
Year:
2021
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
TUM Institution:
Lehrstuhl für Finanzmathematik
Commencing Date:
01.11.2021
End of processing:
08.04.2022
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