Quantile universal threshold (Q131212)

The well known ``bias-variance trade-off dilemma'' appearing in machine learning theory is addressed. It is know that this dilemma can be handled by various regularization techniques starting from classical [\textit{A. N. Tikhonov}, Sov. Math., Dokl. 5, 1035--1038 (1963; Zbl 0141.11001); translation from Dokl. Akad. Nauk SSSR 151, 501--504 (1963); \textit{A. N. Tikhonov} and \textit{V. Y. Arsenin}, Solutions of ill-posed problems. New York etc.: John Wiley \& Sons; Washington, D.C.: V. H. Winston \& Sons (1977; Zbl 0354.65028)], followed by their Bayesian interpretation and many others. In this paper, the authors propose their approach using the novel concept of a zero-thresholding function and a null-thresholding statistic, that can be explicitly derived for a large class of estimators. The efficiency of the approach, called the quantile universal threshold, is demonstrated on synthetic and real data and implemented as \texttt{R} package \texttt{qut} which is available from the Comprehensive R Archive Network (CRAN).