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March 2020 A $C_p$ type criterion for model selection in the GEE method when both scale and correlation parameters are unknown
Tomoharu Sato, Yu Inatsu
Hiroshima Math. J. 50(1): 85-115 (March 2020). DOI: 10.32917/hmj/1583805651

Abstract

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 [8]. A numerical study reveals that we can reduce the prediction error by selecting both variables and a working correlation structure.

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Tomoharu Sato. Yu Inatsu. "A $C_p$ type criterion for model selection in the GEE method when both scale and correlation parameters are unknown." Hiroshima Math. J. 50 (1) 85 - 115, March 2020. https://doi.org/10.32917/hmj/1583805651

Information

Received: 6 March 2019; Revised: 17 October 2019; Published: March 2020
First available in Project Euclid: 10 March 2020

zbMATH: 07197872
MathSciNet: MR4074381
Digital Object Identifier: 10.32917/hmj/1583805651

Subjects:
Primary: 62H12
Secondary: 62F07

Rights: Copyright © 2020 Hiroshima University, Mathematics Program

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Vol.50 • No. 1 • March 2020
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