Évènements du jeudi Juin 2019
Journées (LMPA - ULCO)
Marilena Mitrouli (Université d'Athènes)
Informations : 11:00 - 12:00 B014
In the regularized linear regression models the appropriate choice of the tuning parameter plays a dominant role in the selection of the correct model. Most statistical methods employ the tool of the generalized cross-validation (GCV) for the selection of values of this parameter. In this work, we utilize extrapolation estimates for the GCV function whose minimizers can lead to the determination of the tuning parameter. The selection of an efficient estimate depends on an appropriately defined index of proximity. Bounds and specific values are derived for this index and a thorough study proves that the proposed one-term estimate suits perfectly to statistical models with high correlated variables. This is confirmed through simulation tests for several datasets.