Mis-parametrization subsets for a penalized least squares model selectionReport as inadecuate




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1 SAMM - Statistique, Analyse et Modélisation Multidisciplinaire SAmos-Marin Mersenne 2 MODAL-X - Modélisation aléatoire de Paris X

Abstract : When identifying a model by a penalized minimum contrast procedure, we give a description of the over and under fitting parametrization subsets for a least squares contrast.
This allows to determine an accurate sequence of penalization rates ensuring good identification.
We present applications for the identification of the covariance for a general time series, and for the variogram identification of a geostatistical model.


Keywords : geostatistics least squares contrast penalized contrast model selection misfitting AIC BIC mixture models geostatistics.






Author: Xavier Guyon - Cécile Hardouin -

Source: https://hal.archives-ouvertes.fr/



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