PAC-Bayesian estimation and prediction in sparse additive models
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Abstract: The present paper is about estimation and prediction in high-dimensional additive models under a sparsity assumption ( paradigm). A PAC-Bayesian strategy is investigated, delivering oracle inequalities in probability. The implementation is performed through recent outcomes in high-dimensional MCMC algorithms, and the performance of our method is assessed on simulated data.
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- Bayesian fractional posteriors
- A quasi-Bayesian perspective to online clustering
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- PAC-Bayes estimation for high-dimensional multi-index models with unknown active dimension
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