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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| English | 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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