The focussed information criterion for generalised linear regression models for time series

DOI10.1111/anzs.12310zbMath1521.62164OpenAlexW3130083008MaRDI QIDQ6081853

T. V. Ramanathan, S. C. Pandhare

Publication date: 5 October 2023

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12310

zbMATH Keywords

quasi-likelihood estimationexponential familytime series regressionlocal asymptoticsaverage FICfocussed model selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Generalized linear models (logistic models) (62J12)

Related Items (1)

The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models

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