HAL will be down for maintenance from Friday, June 10 at 4pm through Monday, June 13 at 9am. More information
Skip to Main content Skip to Navigation
Reports

Random thresholds for linear model selection

Marc Lavielle 1 Carenne Ludeña
1 SELECT - Model selection in statistical learning
LMO - Laboratoire de Mathématiques d'Orsay, Inria Saclay - Ile de France
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.
Document type :
Reports
Complete list of metadata

Cited literature [13 references]  Display  Hide  Download

https://hal.inria.fr/inria-00070434
Contributor : Rapport de Recherche Inria Connect in order to contact the contributor
Submitted on : Friday, May 19, 2006 - 8:28:46 PM
Last modification on : Wednesday, April 20, 2022 - 3:37:38 AM
Long-term archiving on: : Sunday, April 4, 2010 - 9:12:37 PM

Identifiers

  • HAL Id : inria-00070434, version 1

Citation

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

Share

Metrics

Record views

73

Files downloads

113