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National Repository of Grey Literature 2 records found  Search took 0.00 seconds. 
GARCH model selection
 Turzová, Kristína ; Hudecová, Šárka (advisor) ; Cipra, Tomáš (referee)
The GARCH model estimates the volatility of a time series. Information criteria are often used to determine orders of the GARCH model, although their suit- ability is not known. This thesis focuses on the order selection of the GARCH model using information criteria. The simulation study investigates whether in- formation criteria are appropriate for the model selection and how the selection depends on the order, number of observations, distribution of innovations, estima- tion method or model parameters. The predictive capabilities of models selected by information criteria are compared to the true model. 1
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Multiple testing problems
 Turzová, Kristína ; Maciak, Matúš (advisor) ; Komárek, Arnošt (referee)
Statistical hypothesis testing is used while analyzing experimental data. This thesis is focused on multiple testing, which means testing many hypotheses simultaneously, and multiple testing problems occurring while running multiple hypotheses tests. These multiple testing problems are described and two errors, FWER (Family-Wise Error Rate) and FDR (False Discovery Rate), are defined. Selected multiple testing corrections are introduced and compared in detail using simulations regarding significance level and power. All of the discussed corrections control for the problem of multiple testing.
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