Model selection by LASSO methods in a change-point model

Gabriela Ciuperca (1)

1 PSPM - Probabilités, statistique, physique mathématique

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 LS estimator.

Domaines: Mathématiques [math]; Statistiques [stat]; Théorie [stat.TH]

Gabriela Ciuperca. Model selection by LASSO methods in a change-point model. Statistical Papers, 2014, 55, pp.349-374. ⟨10.1007/s00362-012-0482-x⟩. ⟨hal-00864901⟩