Variable selection in generalized random coefficient autoregressive models
DOI10.1186/S13660-018-1680-4zbMATH Open1497.62250OpenAlexW2800776862WikidataQ54948914 ScholiaQ54948914MaRDI QIDQ824522FDOQ824522
Authors: Yangping Liu, Zhiwen Zhao, Cui-Xin Peng 
Publication date: 15 December 2021
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-018-1680-4
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variable selectionempirical likelihoodAkaike information criteriongeneralized random coefficient autoregressive modelBayesian information criterion
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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Cited In (9)
- Geometric ergodicity and conditional self‐weighted M‐estimator of a GRCAR(p) model with heavy‐tailed errors
- Automated variable selection in vector multiplicative error models
- Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
- Empirical likelihood based variable selection
- Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
- Random autoregressive models: a structured overview
- Asymptotics for the conditional self-weighted M-estimator of GRCA(1) models with possibly heavy-tailed errors
- Generalized information criterion for the AR model
- Asymptotics for the conditional self-weighted \(M\) estimator of GRCA\((p)\) models and its statistical inference
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