Mis-parametrization subsets for a penalized least squares model selection - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2011

Mis-parametrization subsets for a penalized least squares model selection

Résumé

When identifying a model by a penalized minimum contrast procedure, we give a description of the over and under fitting parametrization subsets for a least squares contrast. This allows to determine an accurate sequence of penalization rates ensuring good identification. We present applications for the identification of the covariance for a general time series, and for the variogram identification of a geostatistical model.
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Dates et versions

hal-00648151 , version 1 (05-12-2011)

Identifiants

  • HAL Id : hal-00648151 , version 1

Citer

Xavier Guyon, Cécile Hardouin. Mis-parametrization subsets for a penalized least squares model selection. 2011. ⟨hal-00648151⟩
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