Model selection by LASSO methods in a change-point model - Probabilités, statistique, physique mathématique Access content directly
Journal Articles Statistical Papers Year : 2014

Model selection by LASSO methods in a change-point model

Abstract

The paper considers a linear regression model with multiple change-points occurring at unknown times. The LASSO technique is very interesting since it allows simultaneously the parametric estimation, including the change-points estimation, and the automatic variable selection. The asymptotic properties of the LASSO-type (which has as particular case the LASSO estimator) and of the adaptive LASSO estimators are studied. For this last estimator the oracle properties are proved. In both cases, a model selection criterion is proposed. Numerical examples are provided showing the performances of the adaptive LASSO estimator compared to the LS estimator.
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Dates and versions

hal-00864901 , version 1 (08-02-2024)

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Gabriela Ciuperca. Model selection by LASSO methods in a change-point model. Statistical Papers, 2014, 55, pp.349-374. ⟨10.1007/s00362-012-0482-x⟩. ⟨hal-00864901⟩
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