Estimation and variable selection with exponential weights
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Abstract: In the context of a linear model with a sparse coefficient vector, exponential weights methods have been shown to be achieve oracle inequalities for prediction. We show that such methods also succeed at variable selection and estimation under the necessary identifiability condition on the design matrix, instead of much stronger assumptions required by other methods such as the Lasso or the Dantzig Selector. The same analysis yields consistency results for Bayesian methods and BIC-type variable selection under similar conditions.
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Cited in
(19)- Fitting sparse linear models under the sufficient and necessary condition for model identification
- Aggregated Expectile Regression by Exponential Weighting
- Exponential screening and optimal rates of sparse estimation
- Bayesian linear regression with sparse priors
- Comparing and Weighting Imperfect Models Using D-Probabilities
- Empirical Bayes inference in sparse high-dimensional generalized linear models
- Bayesian inference in high-dimensional linear models using an empirical correlation-adaptive prior
- PAC-Bayesian bounds for sparse regression estimation with exponential weights
- Concentration inequalities for the exponential weighting method
- Inference without compatibility: using exponential weighting for inference on a parameter of a linear model
- On the exponentially weighted aggregate with the Laplace prior
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- Statistical and computational aspects of learning with complex structure. Abstracts from the workshop held May 5--11, 2019
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- Ordered smoothers with exponential weighting
- Variable selection via penalized credible regions with Dirichlet-Laplace global-local shrinkage priors
- Sparse estimation by exponential weighting
- Empirical priors for prediction in sparse high-dimensional linear regression
- Data-driven priors and their posterior concentration rates
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