Using the penalized likelihood method for model selection with nuisance parameters present only under the alternative: An application to switching regression models

Journal of Time Series Analysis

Volumn 26, Issue 5, 2005, Pages 715-741

  Preminger, Arie ^a   Wettstein, David ^a  

^a BEN GURION UNIVERSITY OF THE NEGEV   (Israel)

Author keywords

Law of the iterated logarithm; Model selection; Penalized likelihood method; Switching regression models

Indexed keywords

EID: 24344439879     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00443.x     Document Type: Article

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