Model selection of M-estimation models using least squares approximation

DOI10.1016/j.spl.2015.01.027zbMath1396.62065OpenAlexW1965517726MaRDI QIDQ2344894

Guangyu Mao

Publication date: 18 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.01.027

zbMATH Keywords

model selectioninformation criterionM-estimationleast squares approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Bayesian averaging, prediction and nonnested model selection
• Estimating the dimension of a model
• Model selection for regression with heteroskedastic and autocorrelated errors
• Unified LASSO Estimation by Least Squares Approximation
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION

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