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Statistical Papers

, Volume 55, Issue 2, pp 349–374 | Cite as

Model selection by LASSO methods in a change-point model

  • Gabriela Ciuperca
Regular Article

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.

Keywords

LASSO Change-points Selection criterion Asymptotic behavior Oracle properties 

Mathematics Subject Classification (2002)

62J07 62F12 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Institut Camille Jordan, Université de Lyon, Université Lyon 1, CNRS, UMR 5208Villeurbanne CedexFrance

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