| Type de publication : |
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Preprint, Working Paper, Document sans référence, etc. |
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| Domaine : |
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| Titre : |
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Mis-parametrization subsets for a penalized least squares model selection |
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| Auteur(s) : |
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Xavier Guyon 1, Cécile Hardouin ( ,  ) 1, 2 |
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| Laboratoire : |
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| Résumé : |
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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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Langue du texte
intégral : |
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Anglais |
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Date de production,
écriture : |
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11/2011 |
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| Mots Clés : |
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least squares contrast – penalized contrast – model selection – misfitting – AIC – BIC – mixture models – geostatistics. |
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| Classification : |
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AMS 2000 subject classifications: Primary 62F12; secondary 62M10 62M40. |
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