Hiroshima Mathematical Journal
- Hiroshima Math. J.
- Volume 50, Number 1 (2020), 85-115.
A $C_p$ type criterion for model selection in the GEE method when both scale and correlation parameters are unknown
In this paper, we consider a model selection criterion using the GEE method including unknown scale and correlation parameters. We propose a model selection criterion for selecting variables and a working correlation structure. Under some regularity conditions, we showed that our criterion is the same as the criterion proposed by Inatsu and Imori . A numerical study reveals that we can reduce the prediction error by selecting both variables and a working correlation structure.
Hiroshima Math. J., Volume 50, Number 1 (2020), 85-115.
Received: 6 March 2019
Revised: 17 October 2019
First available in Project Euclid: 10 March 2020
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Sato, Tomoharu; Inatsu, Yu. A $C_p$ type criterion for model selection in the GEE method when both scale and correlation parameters are unknown. Hiroshima Math. J. 50 (2020), no. 1, 85--115. doi:10.32917/hmj/1583805651. https://projecteuclid.org/euclid.hmj/1583805651