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Random thresholds for linear model selection

Marc Lavielle, Carenne Ludeña (2008)

ESAIM: Probability and Statistics

A method is introduced to select the significant or non null mean terms among a collection of independent random variables. As an application we consider the problem of recovering the significant coefficients in non ordered model selection. The method is based on a convenient random centering of the partial sums of the ordered observations. Based on L-statistics methods we show consistency of the proposed estimator. An extension to unknown parametric distributions is considered. Simulated examples...

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