Segmentation of the Poisson and negative binomial rate models: a penalized estimator
We consider the segmentation problem of Poisson and negative binomial (overdispersed Poisson) rate distributions. In segmentation, an important issue remains the choice of the number of segments. To this end, we propose a penalized -likelihood estimator where the penalty function is constructed in a non-asymptotic context following the works of L. Birgé and P. Massart. The resulting estimator is proved to satisfy an oracle inequality. The performances of our criterion is assessed using simulated...