Optimal prediction for linear regression with infinitely many parameters.

DOI10.1016/S0047-259X(02)00006-4MaRDI QIDQ1867192zbMATH OpenFDO

Authors Alexander Goldenshluger, Alexandre B. Tsybakov

Publication date 2 April 2003

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

asymptotics of minimax riskLinear regression with infinitely many parametersOptimal predictionPinsker filter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cited in

(7)

• Ridge regression and asymptotic minimax estimation over spheres of growing dimension
• Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process
• Asymptotic minimax risk of predictive density estimation for non-parametric regression
• Adaptive estimation of linear functionals in functional linear models
• Sharp adaptive estimation by a blockwise method
• Adaptive prediction and estimation in linear regression with infinitely many parameters.
• Adaptive functional linear regression

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