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;

D O I：

暂无

中图分类号：

学科分类号：

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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