Choosing the order of a non parametric estimator by LASSO regression

Yves Ngounou (1) , Denys Pommeret (2)

1 ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz]
2 AMU - Aix Marseille Université

The use of LASSO technics permit to select automatically regressors in linear or generalized linear models. We combine here this method to get a selection operator of the number of components for non parametric estimators. The method is compared to different data driven technics. Elastic Net method is also studied. Simulation show the potential of this approach. A real data in actuarial science is studied.

Domaines: Statistiques [stat]

Yves Ngounou, Denys Pommeret. Choosing the order of a non parametric estimator by LASSO regression. 2024. ⟨hal-04463927⟩