Model selection by LASSO methods in a change-point model
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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.
KeywordsLASSO Change-points Selection criterion Asymptotic behavior Oracle properties
Mathematics Subject Classification (2002)62J07 62F12
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- Wei F, Huang J, Li H (2011) Variable selection and estimation in high-dimensional varying-coefficient models. Stat Sin 21(4). doi: 10.5705/ss.2009.316