The lasso for high dimensional regression with a possible change point
نویسندگان
چکیده
منابع مشابه
The lasso for high dimensional regression with a possible change point
We consider a high dimensional regression model with a possible change point due to a covariate threshold and develop the lasso estimator of regression coefficients as well as the threshold parameter. Our lasso estimator not only selects covariates but also selects a model between linear and threshold regression models. Under a sparsity assumption, we derive non-asymptotic oracle inequalities f...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2015
ISSN: 1369-7412
DOI: 10.1111/rssb.12108