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Principles of Neural Model Identification, Selection and Adequacy: With Applications to Financial Econometrics: Perspectives in Neural Computing

Autor Achilleas Zapranis, Apostolos-Paul N. Refenes
en Limba Engleză Paperback – 28 mai 1999
Neural networks have had considerable success in a variety of disciplines including engineering, control, and financial modelling. However a major weakness is the lack of established procedures for testing mis-specified models and the statistical significance of the various parameters which have been estimated. This is particularly important in the majority of financial applications where the data generating processes are dominantly stochastic and only partially deterministic. Based on the latest, most significant developments in estimation theory, model selection and the theory of mis-specified models, this volume develops neural networks into an advanced financial econometrics tool for non-parametric modelling. It provides the theoretical framework required, and displays the efficient use of neural networks for modelling complex financial phenomena. Unlike most other books in this area, this one treats neural networks as statistical devices for non-linear, non-parametric regression analysis.
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Specificații

ISBN-13: 9781852331399
ISBN-10: 1852331399
Pagini: 204
Ilustrații: IX, 190 p. 34 illus.
Dimensiuni: 155 x 235 x 11 mm
Greutate: 0.31 kg
Ediția:Softcover reprint of the original 1st ed. 1999
Editura: SPRINGER LONDON
Colecția Springer
Seria Perspectives in Neural Computing

Locul publicării:London, United Kingdom

Public țintă

Research

Cuprins

1 Introduction.- 2 Neural Model Identification.- 3 Review of Current Practice in Neural Model Identification.- 4 Neural Model Selection: the Minimum Prediction Risk Principle.- 5 Variable Significance Testing: a Statistical Approach.- 6 Model Adequacy Testing.- 7 Neural Networks in Tactical Asset Allocation: a Case Study.- 8 Conclusions.- Appendices.- A Computation of Network Derivatives.- B Generating Random Normal Deviates.- References.

Caracteristici

Comes with an Internet site containing data from the case study and demonstration software Provides the reader with a practical tool to address a specific problem in developing financial applications