Model selection by LASSO methods in a change-point model

Gabriela Ciuperca ()

Statistical Papers, 2014, vol. 55, issue 2, 349-374

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 least squares estimator. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: LASSO; Change-points; Selection criterion; Asymptotic behavior; Oracle properties; 62J07; 62F12 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (17)

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DOI: 10.1007/s00362-012-0482-x

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