Misparametrization subsets for penalized least squares model selection

Xavier Guyon and Cécile Hardouin ()

Statistical Inference for Stochastic Processes, 2014, vol. 17, issue 3, 283-294

Abstract: 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

Keywords: Penalized least squares contrast; Model selection; Misfitting subsets (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s11203-014-9100-y

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