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作者:

Zhang, Zhongzhan (Zhang, Zhongzhan.) (学者:张忠占) | Wang, Darong (Wang, Darong.)

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CPCI-S CPCI-SSH

摘要:

The simultaneous variable selection for mean model and variance model in heteroscedastic linear models is discussed in this paper. We propose a criterion named PIC based on the adjusted profile log-likelihood function, which can be employed to jointly select regression variables in the mean model and variance model. The proposed criterion is compared with the naive AIC and BIC through a Monte Carlo simulation, and it is shown that PIC outperforms AIC, and is comparable with BIC. In addition, when the sample size is not large, it performs the best.

关键词:

adjusted profile log-likelihood AIC BIC heteroscedastic regression models Kullback-Leibler information model selection

作者机构:

  • [ 1 ] [Zhang, Zhongzhan]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China
  • [ 2 ] [Wang, Darong]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China

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来源 :

PROCEEDINGS OF THE INTERNATIONAL SYMPOSIUM ON FINANCIAL ENGINEERING AND RISK MANAGEMENT 2008

年份: 2008

页码: 141-143

语种: 英文

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