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

Keyphrases

• Model Selection 100%
• Nuisance Parameter 100%
• Switching Regression Model 100%
• Penalized Likelihood 100%
• Monte Carlo Simulation 33%
• Parameter Space 33%
• Model-dependent 33%
• Data Dependency 33%
• Likelihood Ratio 33%
• Computationally Intensive 33%
• Correct Model 33%
• Penalty Term 33%
• Consistency Properties 33%
• Finite Sample Performance 33%
• Empirical Process Theory 33%
• True Model 33%
• Law of the Iterated Logarithm 33%
• Uniform Law 33%

Mathematics

• Regression Model 100%
• Nuisance Parameter 100%
• Model Selection 100%
• Sufficient Condition 33%
• Monte Carlo 33%
• Parameter Space 33%
• Statistics 33%
• Correct Model 33%
• Likelihood Ratio 33%
• Empirical Process 33%
• Iterated Logarithm 33%
• True Model 33%