Misparametrization subsets for penalized least squares model selection |
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Authors: | Xavier Guyon Cécile Hardouin |
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Institution: | 1. SAMM, Université Paris 1, Paris, France 2. MODALX, Université Paris Ouest Nanterre La Défense, Nanterre, France
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Abstract: | Identifying a model by the penalized contrast procedure, we give an analytical estimation of misfitting subsets in the specific case of a least squares contrast. Then, specifying the statistical model, this allows to determine penalization rates ensuring a consistent identification. Applications are given to time series and geostatistical identification. |
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