Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary

no code implementations • 6 Feb 2023 • Heino Bohn Nielsen, Anders Rahbek

We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constraints on some or all of the parameters, as well as time-series dependence.

Model Selection Time Series +1