Random thresholds for linear model selection - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports Year : 2005

Random thresholds for linear model selection

Marc Lavielle
Carenne Ludeña
  • Function : Author

Abstract

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.
Fichier principal
Vignette du fichier
RR-5572.pdf (269.57 Ko) Télécharger le fichier
Loading...

Dates and versions

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

Identifiers

  • HAL Id : inria-00070434 , version 1

Cite

Marc Lavielle, Carenne Ludeña. Random thresholds for linear model selection. RR-5572, INRIA. 2005, pp.23. ⟨inria-00070434⟩
90 View
12370 Download

Share

Gmail Facebook Twitter LinkedIn More