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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… Click to show full abstract
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).
Keywords:
coefficient autoregressive;
generalized random;
selection generalized;
random coefficient;
variable selection
Journal Title: Journal of Inequalities and Applications
Year Published: 2018
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Journal Title: Journal of Inequalities and Applications
Year Published: 2018
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!