Two essays in statistics: a prediction divergence criterion for model selection & wavelet variance based estimation of latent time series models

  title={Two essays in statistics: a prediction divergence criterion for model selection \& wavelet variance based estimation of latent time series models},
  author={St{\'e}phane Guerrier},
This thesis is divided in two parts. First, it presents a new criterion for model selection which is shown to be particularly well suited in "sparse" settings which we believe to be common in many research fields. Our selection procedure is developed for linear regression models, smoothing splines, autoregressive and mixed linear models. These developments are then applied in Biostatistics. The second part presents a new estimation method for the parameters of a time series model. The proposed… 
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