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Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2014

Misparametrization subsets using penalized least squares model selection

Résumé

Identifying a model by the penalized contrast procedure, we give an analytical estimation of misfitting subsets in the specific case of a least squares contrast. Then, specifying the statistical model, this allows to determine penalization rates ensuring a consistent identification. Applications are given to time series and geostatistical identification.

Dates et versions

hal-01428062 , version 1 (06-01-2017)

Identifiants

Citer

Xavier Guyon, Cécile Hardouin. Misparametrization subsets using penalized least squares model selection. Statistical Inference for Stochastic Processes, 2014, 17 (3), pp.283-294. ⟨10.1007/s11203-014-9100-y⟩. ⟨hal-01428062⟩
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