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Reports Year : 2005

Random thresholds for linear model selection

Marc Lavielle
Carenne Ludeña
  • Function : Author


A method is introduced to estimate the number of significant coefficients in non ordered model selection problems. The method is based on a convenient random centering of the partial sums of the ordered observations. Based on $L-$statistics methods we show consistency of the proposed estimator. An extension to unknown parametric distributions is considered. The method is then applied to a regression model and interpreted as a random threshold procedure. Simulated examples are included to show the accuracy of the estimator.
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Dates and versions

inria-00070434 , version 1 (19-05-2006)


  • HAL Id : inria-00070434 , version 1


Marc Lavielle, Carenne Ludeña. Random thresholds for linear model selection. RR-5572, INRIA. 2005, pp.23. ⟨inria-00070434⟩
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