Model selection by LASSO methods in a change-point model

DOI10.1007/S00362-012-0482-XzbMATH Open1297.62162arXiv1107.0865OpenAlexW2151242607MaRDI QIDQ744757FDOQ744757

Authors: Gabriela Ciuperca 

Publication date: 26 September 2014

Published in: Statistical Papers (Search for Journal in Brave)

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 the parametric estimation, including the change-points, and automatic variable selection simultaneously. 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 LS estimator.

Full work available at URL: https://arxiv.org/abs/1107.0865

Recommendations

• Adaptive LASSO model selection in a multiphase quantile regression
• The Lasso for High Dimensional Regression with a Possible Change Point
• Multiple Change-Point Estimation With a Total Variation Penalty
• Robust change point detection method via adaptive LAD-Lasso
• Simultaneous change point analysis and variable selection in a regression problem

zbMATH Keywords

change-pointsasymptotic behaviorLASSOoracle propertiesselection criterion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Title not available (Why is that?)
• Simultaneous analysis of Lasso and Dantzig selector
• Estimating the number of change-points via Schwarz' criterion
• Estimation of multiple-regime regressions with least absolutes deviation
• Asymptotics for Lasso-type estimators.
• Estimating and Testing Linear Models with Multiple Structural Changes
• Multiple Change-Point Estimation With a Total Variation Penalty
• On the distribution of the adaptive LASSO estimator
• Strong representations for LAD estimators in linear models
• Variable selection and estimation in high-dimensional varying-coefficient models
• Simultaneous change point analysis and variable selection in a regression problem
• Simultaneous estimation and variable selection in median regression using Lasso-type penalty
• Asymptotics of maximum likelihood estimator in a two-phase linear regression model
• The M-estimation in a multi-phase random nonlinear model
• Penalized least absolute deviations estimation for nonlinear model with change-points
• Estimating nonlinear regression with and without change-points by the LAD method
• Asymptotic results in segmented multiple regression
• Estimation, prediction and inference for the LASSO random effects model

Cited In (29)

• Efficient multiple change point detection for high‐dimensional generalized linear models
• Title not available (Why is that?)
• Two-Way Truncated Linear Regression Models with Extremely Thresholding Penalization
• Simultaneous variable selection and de-coarsening in multi-path change-point models
• Data-driven choice of a model selection method in joinpoint regression
• A modified information criterion for tuning parameter selection in 1d fused LASSO for inference on multiple change points
• Simultaneous change point analysis and variable selection in a regression problem
• The Lasso for High Dimensional Regression with a Possible Change Point
• Comments on: ``Extensions of some classical methods in change point analysis
• Empirical likelihood test for high-dimensional two-sample model
• Inference for single and multiple change-points in time series
• Multiple change-points estimation in linear regression models via an adaptive Lasso expectile loss function
• Title not available (Why is that?)
• Detecting change structures of nonparametric regressions
• Adaptive LASSO model selection in a multiphase quantile regression
• Erratum to: ``Model selection by LASSO methods in a change-point model
• Regression discontinuity: review with extensions
• Oracle Efficient Estimation of Structural Breaks in Cointegrating Regressions
• A change-point problem in relative error-based regression
• Wild binary segmentation for multiple change-point detection
• Testing epidemic change in nearly nonstationary process with statistics based on residuals
• Estimating multiple breaks in mean sequentially with fractionally integrated errors
• Robust change point detection method via adaptive LAD-Lasso
• Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
• Changepoint detection by the quantile Lasso method
• B spline variable selection for the single index models
• Monitoring sequential structural changes in penalized high-dimensional linear models
• Robust bent line regression
• Tail-greedy bottom-up data decompositions and fast multiple change-point detection

This page was built for publication: Model selection by LASSO methods in a change-point model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744757)