Variable Selection in Heteroscedastic Regression Models Under General Skew-t Distributional Models Using Information Complexity (Q5050405)

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scientific article; zbMATH DE number 7616799
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    Variable Selection in Heteroscedastic Regression Models Under General Skew-t Distributional Models Using Information Complexity
    scientific article; zbMATH DE number 7616799

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      Variable Selection in Heteroscedastic Regression Models Under General Skew-t Distributional Models Using Information Complexity (English)
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      15 November 2022
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      joint location
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      scale and skewness model (JLSSM)
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      log-linear model for the scale
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      maximal covariance complexity
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      maximum likelihood (ML)
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      model complexity
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      model selection
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      observed Fisher information matrix
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      penalized estimation
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      regression
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      robustness
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      skew distribution
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      skew \(t\)-distribution
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      skewness
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      statistical modeling
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      \(t\)-distribution
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      variable selection
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