Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
参数位于边界的时间序列模型:惩罚准似然估计与模型选择
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. It differs from classic non-penalized likelihood estimation, where limiting distributions of likelihood-based estimators and test-statistics are non-standard, and depend on the unknown number of parameters on the boundary of…