Misparametrization subsets for penalized least squares model selection

DOI10.1007/S11203-014-9100-YMaRDI QIDQ466060zbMATH OpenOpenAlexFDO

Authors Xavier Guyon, Cécile Hardouin

Publication date 24 October 2014

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11203-014-9100-y

zbMATH Keywords

misfitting subsetsmodel selectionpenalized least squares contrast

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cites work

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• Mixing: Properties and examples
• On asymptotic distribution and asymptotic efficiency of least squares estimators of spatial variogram parameters
• On determination of the order of an autoregressive model
• On the underfitting and overfitting sets of models chosen by order selection criteria.
• Selection of the order of an autoregressive model by Akaike's information criterion
• Spatial statistics and modeling. Translated from the French by Kevin Bleakley.
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Cited in

(2)

• A permutation approach for selecting the penalty parameter in penalized model selection
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models

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