An M-estimation-based criterion for simultaneous change point analysis and variable selection in a regression problem

DOI10.1080/15598608.2010.10412018zbMath1420.62299OpenAlexW2060216764MaRDI QIDQ2324141

C. Radhakrishna Rao, Yuehua Wu, Xiao Ping Shi

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2010.10412018

zbMATH Keywords

consistencyleast squareslinear modelsvariable selectioncomputationchange point analysisM-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Related Items (1)

A change-point problem in relative error-based regression

Cites Work

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• Application of modified information criterion to multiple change point problems
• Simultaneous change point analysis and variable selection in a regression problem
• A strongly consistent information criterion for linear model selection based on \(M\)-estimation
• Robust regression: Asymptotics, conjectures and Monte Carlo
• A strongly consistent procedure for model selection in a regression problem

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