Research on Model Selection for Bayesian models and its extension to Nonlinear modeling

• Project/Area Number: 18700273
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Single-year Grants
• Research Field: Statistical science
• Research Institution: Keio University
• Principal Investigator: ANDO Tomohiro Keio University, 大学院・経営管理研究科, 准教授 (40407135)
• Project Period (FY): 2006 – 2008
• Project Status: Completed (Fiscal Year 2008)
• Budget Amount: ¥3,770,000 (Direct Cost: ¥3,500,000、Indirect Cost: ¥270,000); Fiscal Year 2008: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000); Fiscal Year 2007: ¥1,100,000 (Direct Cost: ¥1,100,000); Fiscal Year 2006: ¥1,500,000 (Direct Cost: ¥1,500,000)
• Keywords: モデル選択 / 統計的モデリング / マルコフ連鎖モンテカルロ法 / ベイズアプローチ / 時系列解析 / 状態空間モデル

Research Abstract

本研究では、統計的モデリング手法のなかでも、特に、観測データの情報と事前知識を融合して目的に沿った情報を取り出すベイズモデリング手法の研究を進めた。研究成果の一つとして、ベイズモデルのモデル評価基準について予測の観点から検討し、新しいモデル評価基準を導出し、国際的なジャーナルへ掲載されている。
また、各分野で蓄積されつつある様々な実データの解析を通してその有効性を検証して研究を基礎理論から応用分野へと発展させた。研究成果は、応用という観点から周辺領域の分野を含めて、国際会議等で発表して広く意見を求めた。

Research Products

• [Journal Article] Bayesian portfolio selection using multifactor model and Bayesian predictive information criterion (2009)
  • Author(s): Ando, T.
  • Journal Title: International Journal of Forecasting (in press)
  • Peer Reviewed
• [Journal Article] Bayesian factor analysis with fat-tailed factors and its exact marginal likelihood (2009)
  • Author(s): Ando, T.
  • Journal Title: Journal of Multivariate Analysis (in press)
  • Peer Reviewed
• [Journal Article] Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criterion (2009)
  • Author(s): Ando, T.
  • Journal Title: Computational Statistics and Data Analysis 53 Pages: 1925-1939
  • Peer Reviewed
• [Journal Article] Measuring the baseline sales and the promotion effect for incense products: A Bayesian state space modeling approach. (2008)
  • Author(s): Ando, T.
  • Journal Title: Annals of the Institute of Statistical Mathematics 60 Pages: 763-780
  • Peer Reviewed
• [Journal Article] Bayesian model averaging and Bayesian predictive information criterion for model selection (2008)
  • Author(s): Ando, T.
  • Journal Title: Journal of the Japan Statistical Society 38 Pages: 243-257
  • NAID: 110006835625
  • Peer Reviewed
• [Journal Article] Bayesian inference for regime switching stochastic volatility model with fat-tails and correlated errors (2008)
  • Author(s): Ando, T.
  • Journal Title: Proceeding of COMPSTAT 2006 Pages: 1573-1581
  • Peer Reviewed
• [Journal Article] Bayesian model averaging and Bayesian predictive information criterion for model selection (2008)
  • Author(s): Tomohiro Ando
  • Journal Title: Journal of the Japan Statistical Society 38 Pages: 243-257
  • NAID: 110006835625
  • Peer Reviewed
• [Journal Article] asuring the Sales Promotion Effect and Baseline Sales for Incense pucts : a Bayesian State Space Modeling Approach (2008)
  • Author(s): Tomohiro Ando
  • Journal Title: Annals of the Institute of Statistical Mathematics 60 Pages: 763-780
  • Peer Reviewed
• [Journal Article] Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models. (2007)
  • Author(s): Ando, T.
  • Journal Title: Biometrika 94 Pages: 443-458
  • Peer Reviewed
• [Journal Article] A Bayesian approach for inferring Gaussian graphical models: an application to management issues (2007)
  • Author(s): Ando, T.
  • Journal Title: Proceeding of International Association for the Scientific Knowledge, Global Management Pages: 68-75
  • Peer Reviewed
• [Journal Article] Bayesian predictive information criterion for the evaluation of hierarchical Bayesian and empirical Bayes models (2007)
  • Author(s): Ando Tomohiro
  • Journal Title: Biometrika 94 Pages: 443-458
  • Peer Reviewed
• [Journal Article] A Bayesian approach for inferring Gaussian graphical models: an application to management issues. (2007)
  • Author(s): Ando Tomohiro
  • Journal Title: Proceeding of International Association for the Scientific Knowledge, Global Management 2007 Pages: 68-75
  • Peer Reviewed
• [Journal Article] Bayesian State Space Modeling Approach for Measuring the Effectiveness of Marketing Activities and Baseline Sales from POS Data. (2006)
  • Author(s): Ando, T.
  • Journal Title: Proceeding of IEEE International Conference on Data Mining Pages: 21-32
  • Peer Reviewed
• [Journal Article] Bayesian credit rating analysis based on ordered probit regression model with functional predictor (2006)
  • Author(s): Ando, T.
  • Journal Title: Proceeding of The Third IASTED International Conference on Financial Engineering and Applications Pages: 69-76
  • Peer Reviewed
• [Journal Article] Bayesian inference for nonlinear and non-Gaussian stochastic volatility model with leverage effect (2006)
  • Author(s): Ando, T.
  • Journal Title: Journal of the Japan Statistical Society 36 Pages: 173-197
  • NAID: 110005716713
  • Peer Reviewed
• [Journal Article] Bayesian State Space Modeling Approach for Measuring the Effectiveness of Marketing Activities and Baseline Sales from POS Data. (2006)
  • Author(s): Tomohiro Ando
  • Journal Title: Proceeding of IEEE International Conference on Data Mining 2006 Pages: 21-32
• [Journal Article] Bayesian credit rating analysis based on ordered probit regression model with functional predictor. (2006)
  • Author(s): Tomohiro Ando
  • Journal Title: Proceeding of The Third IASTED International Conference on Financial Engineering and Applications Pages: 69-76
• [Presentation] A Direct Monte Carlo Approach for Bayesian Analysis of the Seemingly Unrelated Regression and Related Models (2008)
  • Author(s): Ando, T. and Zellner, A
  • Organizer: Seminar on Bayesian Inference in Econometrics and Statistics
  • Place of Presentation: University of Chicago, Chicago, Illinois, USA
  • Year and Date: 2008-10-17
• [Presentation] Predictive likelihood for Bayesian model selection and averaging. Statistics Seminar, Department of statistics and actuarial science (2008)
  • Author(s): Ando, T. and Tsay, R.
  • Organizer: The University of Hong Kong
  • Place of Presentation: The University of Hong Kong, Hong Kong, China
  • Year and Date: 2008-10-02
• [Presentation] Predictive likelihood for Bayesian model selection and averaging. Joint Statistics Seminar (2008)
  • Author(s): Ando, T. and Tsay, R.
  • Organizer: The Hong Kong University of Science and Technology
  • Place of Presentation: The Hong Kong University of Science and Technology, Hong Kong, China
  • Year and Date: 2008-09-29
• [Presentation] Predictive likelihood for Bayesian model selection and averaging (2007)
  • Author(s): Ando, T. and Tsay, R
  • Organizer: Econometrics and Statistics colloquium, Graduate School of Business, University of Chicago
  • Place of Presentation: University of Chicago, Chicago, Illinois, USA
  • Year and Date: 2007-12-10
• [Presentation] Bayesian portfolio selection using multifactor model and Bayesian predictive information criterion (2007)
  • Author(s): Ando, T.
  • Organizer: 27th international symposium on forecasting, 2007
  • Place of Presentation: Marriott Marquis, New York, USA
  • Year and Date: 2007-06-26
• [Presentation] Bayesian portfolio selection using multifactor model and Bayesian predictive information criterion. (2007)
  • Author(s): Ando Tomohiro
  • Organizer: 27th international symposium on forecasting 2007
  • Place of Presentation: Marriott Marquis, New York, USA
  • Year and Date: 2007-06-25
• [Presentation] A Bayesian approach for inferring Gaussian graphical models: an application to management issues (2007)
  • Author(s): Ando, T.
  • Organizer: International Association for the Scientific Knowledge, Global Management 2007
  • Place of Presentation: Hotel Eva, Faro, Portugal
  • Year and Date: 2007-05-04
• [Presentation] Bayesian State Space Modeling Approach for Measuring the Effectiveness of Marketing Activities and Baseline Sales from POS Data (2007)
  • Author(s): Ando, T.
  • Organizer: Cherry Bud Workshop 2007
  • Place of Presentation: Keio University, Japan
  • Year and Date: 2007-03-16
• [Presentation] Bayesian State Space Modeling Approach for Measuring the Effectiveness of Marketing Activities and Baseline Sales from POS Data (2006)
  • Author(s): Ando, T.
  • Organizer: The 2006 IEEE International Conference on Data Mining
  • Place of Presentation: Hong Kong Convention and Exhibition Centre, Hong Kong
  • Year and Date: 2006-12-20