Model selection by LASSO methods in a change-point model |
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Authors: | Gabriela Ciuperca |
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Institution: | 1. Institut Camille Jordan, Université de Lyon, Université Lyon 1, CNRS, UMR 5208, Bat. Braconnier, 43, Blvd du 11 novembre 1918, 69622, Villeurbanne Cedex, France
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Abstract: | 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. |
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