—Probability models are estimated by use of penalized log-likelihood criteria related to AIC and MDL. The accuracies of the density estimators are shown to be related to the trad...
The statistical properties of the likelihood ratio test statistic (LRTS) for mixture-of-expert models are addressed in this paper. This question is essential when estimating the nu...
In this paper, the influence of a point spectrum on large sample statistics of the autoregressive (AR) spectral estimator is addressed. In particular, the asymptotic distributions ...
This paper investigates an efficient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting ...