Model selection for the segmentation of multiparameter exponential family distributions

DOI10.1214/17-EJS1246zbMATH Open1362.62068arXiv1412.6697OpenAlexW2964083686WikidataQ115517787 ScholiaQ115517787MaRDI QIDQ521328FDOQ521328

Authors: Alice Cleynen, Emilie Lebarbier 

Publication date: 7 April 2017

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

Abstract: We consider the segmentation problem of univariate distributions from the exponential family with multiple parameters. In segmentation, the choice of the number of segments remains a difficult issue due to the discrete nature of the change-points. In this general exponential family distribution framework, we propose a penalized log-likelihood estimator where the penalty is inspired by papers of L. Birg'e and P. Massart. The resulting estimator is proved to satisfy an oracle inequality. We then further study the particular case of categorical variables by comparing the values of the key constants when derived from the specification of our general approach and when obtained by working directly with the characteristics of this distribution. Finally, a simulation study is conducted to assess the performance of our criterion for the exponential distribution, and an application on real data modelled by the categorical distribution is provided.

Full work available at URL: https://arxiv.org/abs/1412.6697

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zbMATH Keywords

model selectionchange-point detectionexponential familydistribution estimationcharacteristics of this distribution

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Nonparametric estimation (62G05) Density estimation (62G07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cited In (4)

• Consistent model selection procedure for general integer-valued time series
• Piecewise autoregression for general integer-valued time series
• A kernel multiple change-point algorithm via model selection
• Estimating the joint distribution of independent categorical variables via model selection

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