Gaussian model selection

DOI10.1007/S100970100031zbMath1037.62001OpenAlexW1995771589WikidataQ92198678 ScholiaQ92198678MaRDI QIDQ5945247

Pascal Massart, Lucien Birgé

Publication date: 2001

Published in: Journal of the European Mathematical Society (JEMS) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s100970100031

zbMATH Keywords

curve estimationBayesian viewnonasymptotic point of viewnonparametricparametricpenalized projection estimatorswhite noise framework

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20) Foundations and philosophical topics in statistics (62A01) Approximation by arbitrary nonlinear expressions; widths and entropy (41A46)

Related Items (only showing first 100 items - show all)

Some theoretical results regarding the polygonal distribution ⋮ Concentration inequalities, counting processes and adaptive statistics ⋮ PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE? ⋮ Frequentist validity of Bayesian limits ⋮ Adaptive and efficient estimation in the Gaussian sequence model ⋮ Optimal false discovery control of minimax estimators ⋮ Data-driven selection of the number of change-points via error rate control ⋮ Robust oracle estimation and uncertainty quantification for possibly sparse quantiles ⋮ Data-driven model selection for same-realization predictions in autoregressive processes ⋮ Optimal change-point detection and localization ⋮ Theory of adaptive estimation ⋮ Fast exact Bayesian inference for sparse signals in the normal sequence model ⋮ Detection of multiple change-points in multivariate data ⋮ Estimation and variable selection with exponential weights ⋮ Sparse model selection under heterogeneous noise: exact penalisation and data-driven thresholding ⋮ Model selection for density estimation with \(\mathbb L_2\)-loss ⋮ Aggregation for Gaussian regression ⋮ A Semiparametric Change-Point Regression Model for Longitudinal Observations ⋮ On optimality of Bayesian testimation in the normal means problem ⋮ Detection of multiple change-points in multivariate time series ⋮ The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder). ⋮ Testing the linearity in partially linear models ⋮ Adaptive sequential estimation for ergodic diffusion processes in quadratic metric ⋮ Prediction of time series by statistical learning: general losses and fast rates ⋮ Some applications of concentration inequalities to statistics ⋮ Covariate selection for semiparametric hazard function regression models ⋮ A Modified Bayes Information Criterion with Applications to the Analysis of Comparative Genomic Hybridization Data ⋮ Model selection for estimating the non zero components of a Gaussian vector ⋮ Adaptive nonparametric confidence sets ⋮ Adapting to unknown sparsity by controlling the false discovery rate ⋮ Adaptive minimax estimation of a fractional derivative ⋮ Compensator and exponential inequalities for some suprema of counting processes ⋮ Nonparametric Estimation of the Hazard Function by Using a Model Selection Method: Estimation of Cancer Deaths in Hiroshima Atomic Bomb Survivors ⋮ Block-Diagonal Covariance Selection for High-Dimensional Gaussian Graphical Models ⋮ Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields ⋮ High-dimensional regression with unknown variance ⋮ Sparse estimation by exponential weighting ⋮ Trade-off between predictive performance and FDR control for high-dimensional Gaussian model selection ⋮ How many bins should be put in a regular histogram ⋮ Multivariate trend filtering for lattice data ⋮ Risk hull method for spectral regularization in linear statistical inverse problems ⋮ Local comparison of empirical distributions via nonparametric regression ⋮ Adaptive estimation with soft thresholding penalties ⋮ Mixture of linear mixed models for clustering gene expression profiles from repeated microarray experiments ⋮ Road trafficking description and short term travel time forecasting, with a classification method ⋮ Histogram selection in non Gaussian regression ⋮ BOOTSTRAP TESTS FOR THE ERROR DISTRIBUTION IN LINEAR AND NONPARAMETRIC REGRESSION MODELS ⋮ Multiscale Change Point Inference ⋮ Inference for single and multiple change-points in time series ⋮ Empirical Bayes selection of wavelet thresholds ⋮ Local Posterior Concentration Rate for Multilevel Sparse Sequences ⋮ Model selection for regression on a random design ⋮ Greedy algorithms for prediction ⋮ Least angle regression. (With discussion) ⋮ Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection ⋮ Near-ideal model selection by \(\ell _{1}\) minimization ⋮ Minimal penalties for Gaussian model selection ⋮ SLOPE is adaptive to unknown sparsity and asymptotically minimax ⋮ A penalized criterion for variable selection in classification ⋮ GSDAR: a fast Newton algorithm for \(\ell_0\) regularized generalized linear models with statistical guarantee ⋮ Nonparametric denoising of signals with unknown local structure. I: Oracle inequalities ⋮ Local inference by penalization method for biclustering model ⋮ Solution of linear ill-posed problems by model selection and aggregation ⋮ Adaptive density estimation using the blockwise Stein method ⋮ Estimation of matrices with row sparsity ⋮ Statistical estimation with model selection ⋮ General maximum likelihood empirical Bayes estimation of normal means ⋮ Semiparametric inference for mixtures of circular data ⋮ Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes ⋮ How can we identify the sparsity structure pattern of high-dimensional data: an elementary statistical analysis to interpretable machine learning ⋮ Adaptive confidence sets in \(L^2\) ⋮ Estimating the joint distribution of independent categorical variables via model selection ⋮ Optimal rates for plug-in estimators of density level sets ⋮ Adaptive estimation for Hawkes processes; application to genome analysis ⋮ Empirical risk minimization as parameter choice rule for general linear regularization methods ⋮ Estimating piecewise monotone signals ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ Regularization in statistics ⋮ Adaptive and optimal online linear regression on \(\ell^1\)-balls ⋮ Honest and adaptive confidence sets in \(L_p\) ⋮ Adaptive tests of linear hypotheses by model selection ⋮ Rejoinder to the comments on: \(\ell _{1}\)-penalization for mixture regression models ⋮ Estimator selection: a new method with applications to kernel density estimation ⋮ Needles and straw in a haystack: posterior concentration for possibly sparse sequences ⋮ A Bernstein-type inequality for suprema of random processes with applications to model selection in non-Gaussian regression ⋮ On estimation of isotonic piecewise constant signals ⋮ Model selection: from theory to practice ⋮ SLOPE-adaptive variable selection via convex optimization ⋮ General model selection estimation of a periodic regression with a Gaussian noise ⋮ Statistical inference for the optimal approximating model ⋮ Segmentation of the mean of heteroscedastic data via cross-validation ⋮ Minimax risks for sparse regressions: ultra-high dimensional phenomenons ⋮ Spatial adaptation in heteroscedastic regression: propagation approach ⋮ Selecting the length of a principal curve within a Gaussian model ⋮ Model selection in regression under structural constraints ⋮ Optimal model selection in heteroscedastic regression using piecewise polynomial functions ⋮ Adaptive estimation of linear functionals by model selection ⋮ Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression ⋮ Model selection by resampling penalization ⋮ MAP model selection in Gaussian regression

This page was built for publication: Gaussian model selection