Bootstrap tuning in Gaussian ordered model selection

DOI10.1214/18-AOS1717MaRDI QIDQ2414090zbMATH OpenWikidataFDO

Authors Niklas Willrich, V. G. Spokoiny

Publication date 10 May 2019

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.05034, https://projecteuclid.org/euclid.aos/1550026841

zbMATH Keywords

heteroscedasticitymodel selectionnonparametric regressionlinear regressionmultiplier bootstrapmultiple pairwise testsvariance co-variance structure

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Nonparametric statistical resampling methods (62G09) Analysis of variance and covariance (ANOVA) (62J10) Paired and multiple comparisons; multiple testing (62J15)

Abstract: In the problem of model selection for a given family of linear estimators, ordered by their variance, we offer a new "smallest accepted" approach motivated by Lepski's method and multiple testing theory. The procedure selects the smallest model which satisfies an acceptance rule based on comparison with all larger models. The method is completely data-driven and does not use any prior information about the variance structure of the noise: its parameters are adjusted to the underlying possibly heterogeneous noise by the so-called "propagation condition" using a wild bootstrap method. The validity of the bootstrap calibration is proved for finite samples with an explicit error bound. We provide a comprehensive theoretical study of the method and describe in detail the set of possible values of the selector ( hat{m} ). We also establish some precise oracle error bounds for the corresponding estimator ( hat{ heta} = ilde{ heta}_{hat{m}} ) which equally applies to estimation of the whole parameter vectors, some subvector or linear mapping, as well as the estimation of a linear functional.

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Cited in

(3)

• Adaptive minimax optimality in statistical inverse problems via SOLIT—Sharp Optimal Lepskiĭ-Inspired Tuning
• Resampling-based tuning of ordered model selection
• Simple adaptive estimation of quadratic functionals in nonparametric IV models

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