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Record W7161947112 · doi:10.82308/49192

Statistical approaches to copula model selection

2015· dissertation· en· W7161947112 on OpenAlexaboutno aff
Julien Röger

Bibliographic record

Venuenot available
Typedissertation
Languageen
FieldEconomics, Econometrics and Finance
TopicFinancial Risk and Volatility Modeling
Canadian institutionsnot available
Fundersnot available
KeywordsStatistical modelStatistical analysisSelection (genetic algorithm)Statistical hypothesis testing

Abstract

fetched live from OpenAlex

Le problème de la sélection des modèles de copule est important car les modèles de copule similaires mais différents peuvent offrir des conclusions différentes sur la nature de l'association des aléas. La méthode proposée par Chen et Fan (La revue canadienne de statistique, 2005), ci-après d'enommée la méthode CF, fait intervenir un test d'hypothèse statistique et tient compte du caractère aléatoire de l'AIC et d'autres méthodes de sélection de modèle basées sur la vraisemblance. Cette thèse caractérise la performance de la méthode CF par simulation. Bien qu'une sensibilité plus élevée soit observée dans certaines situations, il existe un compromis entre la capacité de la méthode CF à exclure des modèles candidats et son intensité de calcul. Cette thèse propose aussi une nouvelle approche pour comparer directement les valeurs-p d'un test d'hypothèse avec des valeurs de delta pour des critères de sélection basés sur la vraisemblance.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.000
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow), Insufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.737
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0000.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.001

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.264
GPT teacher head0.288
Teacher spread0.024 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designTheoretical or conceptual
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations0
Published2015
Admission routes1
Has abstractyes

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