From model selection to adaptive estimation
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The objective of the paper under review is to illustrate by a few theorems and applications, mainly directed towards adaptive estimation in Besov spaces, the power and versatility of the method of penalized minimum contrast estimation on sieves. The authors consider linear sieves and the particular contrast that defines projection estimators for density estimation. Let \(S_m\) be a collection of linear sieves with respective dimensions \(D_m\) and suitable properties, and \(s_m\) be the best approximant of an unknown density \(s\) (from \({\mathbf L}^2(\mu)\) with the norm \(\|\;\|)\) in \(S_m\), based on \(n\) given observations. It is shown that if a single sieve \(S\) is replaced by \(S_m\), and a penalty function has the form \(L(m)D_m/n\) (where \(L(m)\) is either uniformly bounded or possibly of order \(\log n)\), then one gets a risk which, up to a multiplicative constant, realizes the best trade-off between \(\| s-s_m\|^2\) and \(L(m)D_m/n\). The authors show that some methods of adaptive density estimation (like the unbiased cross validation and the hard thresholding of wavelet empirical coefficients) can be viewed as special instances of penalized projection estimators. To emphasize the flexibility and potential of the methods of penalization, the authors discuss various families of sieves and penalties and propose some new adaptive estimators. For the entire collection see [Zbl 0861.00032].
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- Orthogonal series estimates on strong spatial mixing data
- Fast adaptive estimation of log-additive exponential models in Kullback-Leibler divergence
- Model selection for Gaussian regression with random design
- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- Minimax estimation via wavelet shrinkage
- Density estimation by wavelet thresholding
- Mixing strategies for density estimation.
- Convergence rates of posterior distributions.
- Adaptive estimation of a quadratic functional by model selection.
- Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
- M-estimation using penalties or sieves
- About the constants in Talagrand's concentration inequalities for empirical processes.
- Adaptive estimation of linear functionals in functional linear models
- Adaptive covariance estimation with model selection
- Selecting the length of a principal curve within a Gaussian model
- 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
- Cumulative distribution function estimation under interval censoring case 1
- General oracle inequalities for model selection
- Inhomogeneous and anisotropic conditional density estimation from dependent data
- The Goldenshluger-Lepski method for constrained least-squares estimators over RKHSs
- A MOM-based ensemble method for robustness, subsampling and hyperparameter tuning
- Minimax bounds for Besov classes in density estimation
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- Model selection: from theory to practice
- Adaptation to anisotropy and inhomogeneity via dyadic piecewise polynomial selection
- Non-parametric Poisson regression from independent and weakly dependent observations by model selection
- Local Rademacher complexities and oracle inequalities in risk minimization. (2004 IMS Medallion Lecture). (With discussions and rejoinder)
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- Histogram selection for possibly censored data
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- Penalized nonparametric mean square estimation of the coefficients of diffusion processes
- Nonparametric estimation of the stationary density and the transition density of a Markov chain
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Super optimal rates for nonparametric density estimation via projection estimators
- Compensator and exponential inequalities for some suprema of counting processes
- Adaptive sampling schemes for density estimation
- Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
- Frequentist validity of Bayesian limits
- Multiple-model estimation with variable structure. II: Model-set adaptation
- Low complexity regularization of linear inverse problems
- Effect of cascade methods on vibration defects detection
- Differential methylation tests of regulatory regions
- Minimal penalty for Goldenshluger-Lepski method
- Theory of Classification: a Survey of Some Recent Advances
- How many bins should be put in a regular histogram
- Smoothing techniques and augmented Lagrangian method for recourse problem of two-stage stochastic linear programming
- Convolution power kernels for density estimation
- Optimal model selection in density estimation
- Sieve-based confidence intervals and bands for Lévy densities
- Exact adaptive pointwise estimation on Sobolev classes of densities
- Adaptive density estimation in deconvolution problems with unknown error distribution
- Adaptive estimation of marginal random-effects densities in linear mixed-effects models
- Nonparametric estimation in a mixed-effect Ornstein-Uhlenbeck model
- An introduction to nonparametric adaptive estimation
- A new method for estimation and model selection: \(\rho\)-estimation
- Minimax estimation of the conditional cumulative distribution function
- Some applications of concentration inequalities to statistics
- Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields
- Spline regression for hazard rate estimation when data are censored and measured with error
- Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
- Adaptive denoising of signals with local shift-invariant structure
- Segmentation of the mean of heteroscedastic data via cross-validation
- On the number of groups in clustering
- A moment-matching approach to testable learning and a new characterization of Rademacher complexity
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- Nonparametric spectral density estimation under local differential privacy
- Nonparametric denoising of signals of unknown local structure. II: Nonparametric function recovery
- Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment
- Nonparametric estimation for censored circular data
- Statistical inference in sparse high-dimensional additive models
- Optimal adaptive estimation of a quadratic functional
- Regularization in statistics
- Adaptive estimation of and oracle inequalities for probability densities and characteristic functions
- Parallel implementation of wavelet-based image denoising on programmable PC-grade graphics hardware
- SPADES and mixture models
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