Variable selection in generalized random coefficient autoregressive models

被引：0
|
作者：
Zhiwen Zhao
Yangping Liu
Cuixin Peng
机构：
[1] Jilin Normal University,College of Mathematics
[2] Jilin Normal University,Public Foreign Languages Department
来源：
Journal of Inequalities and Applications | / 2018卷
关键词：
Empirical likelihood; Akaike information criterion; Bayesian information criterion; Generalized random coefficient autoregressive model; Variable selection; 62M10; 91B62;
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摘要：
In this paper, we consider the variable selection problem of the generalized random coefficient autoregressive model (GRCA). Instead of parametric likelihood, we use non-parametric empirical likelihood in the information theoretic approach. We propose an empirical likelihood-based Akaike information criterion (AIC) and a Bayesian information criterion (BIC).
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