Model selection for estimating the non zero components of a gaussian vector
ESAIM: Probability and Statistics, Tome 10 (2006), pp. 164-183.

We propose a method based on a penalised likelihood criterion, for estimating the number on non-zero components of the mean of a gaussian vector. Following the work of Birgé and Massart in gaussian model selection, we choose the penalty function such that the resulting estimator minimises the Kullback risk.

DOI : 10.1051/ps:2006004
Classification : 62G05, 62G09
Mots-clés : Kullback risk, model selection, penalised likelihood criteria 
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     author = {Huet, Sylvie},
     title = {Model selection for estimating the non zero components of a gaussian vector},
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Huet, Sylvie. Model selection for estimating the non zero components of a gaussian vector. ESAIM: Probability and Statistics, Tome 10 (2006), pp. 164-183. doi : 10.1051/ps:2006004. http://archive.numdam.org/articles/10.1051/ps:2006004/

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