Variable selection in joint location, scale and skewness models with a skew-\(t\)-normal distribution

DOI10.4310/SII.2017.v10.n2.a6zbMath1388.62052MaRDI QIDQ1748635

Ting Ma, Yan-Qing Zhang, Guo-Liang Tian, Liu-Cang Wu

Publication date: 14 May 2018

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/sii.2017.v10.n2.a6

zbMATH Keywords

variable selection; penalized maximum likelihood estimator; heteroscedastic regression models; joint location; scale and skewness models; skew-\(t\)-normal distribution

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62H12: Estimation in multivariate analysis

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