Gaussian linear model selection in a dependent context

DOI10.1214/21-EJS1885zbMATH Open1471.62310arXiv2005.01058OpenAlexW3201672662MaRDI QIDQ2233592FDOQ2233592

Authors: Emmanuel Caron, Bertrand Michel, Jérôme Dedecker 

Publication date: 11 October 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: In this paper, we study the nonparametric linear model, when the error process is a dependent Gaussian process. We focus on the estimation of the mean vector via a model selection approach. We first give the general theoretical form of the penalty function, ensuring that the penalized estimator among a collection of models satisfies an oracle inequality. Then we derive a penalty shape involving the spectral radius of the covariance matrix of the errors, which can be chosen proportional to the dimension when the error process is stationary and short range dependent. However, this penalty can be too rough in some cases, in particular when the error process is long range dependent. In a second part, we focus on the fixed-design regression model assuming that the error process is a stationary Gaussian process. We propose a model selection procedure in order to estimate the mean function via piecewise polynomials on a regular partition, when the error process is either short range dependent, long range dependent or anti-persistent. We present different kinds of penalties, depending on the memory of the process. For each case, an adaptive estimator is built, and the rates of convergence are computed. Thanks to several sets of simulations, we study the performance of these different penalties for all types of errors (short memory, long memory and anti-persistent errors). Finally, we give an application of our method to the well-known Nile data, which clearly shows that the type of dependence of the error process must be taken into account.

Full work available at URL: https://arxiv.org/abs/2005.01058

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zbMATH Keywords

model selectionnonparametric regressionlong memoryadaptive estimationshort memory

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (4)

• Improved model selection method for a regression function with dependent noise
• Model selection for Gaussian regression with random design
• Model selection for (auto-)regression with dependent data
• Gaussian model selection

Uses Software

• longmemo
• CAPUSHE

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