Model selection by LASSO methods in a change-point model

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

Authors Gabriela Ciuperca 

Publication date 26 September 2014

Published in Statistical Papers (Search for Journal in Brave)

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

zbMATH Keywords

change-pointsasymptotic behaviorLASSOoracle propertiesselection criterion

Mathematics Subject Classification ID

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

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.

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Cited In (31)

• Oracle efficient estimation of structural breaks in cointegrating regressions
• Efficient multiple change point detection for high‐dimensional generalized linear models
• 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
• Comments on: ``Extensions of some classical methods in change point analysis
• An efficient two step algorithm for high dimensional change point regression models without grid search
• 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 no real title available?)
• Detecting change structures of nonparametric regressions
• Detection of multiple undocumented change-points using adaptive Lasso
• 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
• A change-point problem in relative error-based regression
• Wild binary segmentation for multiple change-point detection
• The Lasso for high dimensional regression with a possible change point
• 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
• An M-estimation-based criterion for simultaneous change point analysis and variable selection in a regression problem
• Tail-greedy bottom-up data decompositions and fast multiple change-point detection

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