Misparametrization subsets for penalized least squares model selection

Identifying a model by the penalized contrast procedure, we give an analytical estimation of misfitting subsets in the specific case of a least squares contrast. Then, specifying the statistical model, this allows to determine penalization rates ensuring a consistent identification. Applications are given to time series and geostatistical identification. Copyright Springer Science+Business Media Dordrecht 2014

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Year of publication:	2014
Authors:	Guyon, Xavier ; Hardouin, Cécile
Published in:	Statistical Inference for Stochastic Processes. - Springer. - Vol. 17.2014, 3, p. 283-294
Publisher:	Springer
Subject:	Penalized least squares contrast \| Model selection \| Misfitting subsets

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010949406