Journal
STATISTICAL PAPERS
Volume 55, Issue 2, Pages 349-374Publisher
SPRINGER
DOI: 10.1007/s00362-012-0482-x
Keywords
LASSO; Change-points; Selection criterion; Asymptotic behavior; Oracle properties
Categories
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available