期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 99, 期 9, 页码 2154-2171出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2008.02.010
关键词
Linear models; Variable selection; Change point analysis; Consistency; Computation
资金
- Natural Sciences and Engineering Research Council of Canada
In this paper, an information-based criterion is proposed for carrying out change point analysis and variable selection simultaneously in linear models with a possible change point. Under some weak conditions, this criterion is shown to be strongly consistent in the sense that with probability one, it chooses the smallest true model for large n. Its byproducts include strongly consistent estimates of the regression coefficients regardless if there is a change point. In case that there is a change point, its byproducts also include a strongly consistent estimate of the change point parameter. In addition, an algorithm is given which has significantly reduced the computation time needed by the proposed criterion for the same precision. Results from a simulation study are also presented. (C) 2008 Elsevier Inc. All rights reserved.
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