Baxter, R. A. Minimum Message Length Inference: Theory and Applications. PhD thesis, Dept. of Computer Science, Monash University, Clayton 3168, Australia, December 1996. Home/Search Document Details and Download
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Predicting Daily Probability Distributions of S&P500 Returns - Weigend, Shi (1998) (Correct)
.... state: P (s t js t Gamma1 ; s t Gamma2 ; s 1 ; X t Gamma1 ; Y t Gamma1 ) P (s t js t Gamma1 ) 1) 6 While theoretical approaches such as the Minimum Message Length principle (Wallace and Boulton 1968) can give an optimal number of states under certain assumptions (Baxter 1996), we take a more pragmatic approach of building models for different M and evaluating the quantity that the modeler is truly interested in. For example, trading models that use the predicted densities as input are often evaluated with a risk adjusted measure (Choey and Weigend 1997) With q T ....
Baxter, R. (1996). Minimum Message Length Inference: Theory and Applications, PhD thesis, Department of Computer Science, Monash University, Clayton, Australia.
Appendix A - Experimental Details This (Correct)
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Baxter, R. A. Minimum Message Length Inference: Theory and Applications. PhD thesis, Dept. of Computer Science, Monash University, Clayton 3168, Australia, December 1996.
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