Using the Penalized Likelihood Method for Model Selection with Nuisance Parameters Present only under the Alternative: An Application to Switching Regression Models

DOI10.1111/j.1467-9892.2005.00443.xzbMath1092.62093OpenAlexW3121604447MaRDI QIDQ5467624

Arie Preminger, David Wettstein

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00443.x

zbMATH Keywords

consistencylaw of the iterated logarithmpenalized likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear inference, regression (62J99) Diagnostics, and linear inference and regression (62J20)

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