Risk bounds for model selection via penalization

DOI10.1007/S004400050210zbMATH Open0946.62036OpenAlexW1996268356MaRDI QIDQ1291160FDOQ1291160

Andrew R. Barron, Pascal Massart, L. Birgé

Publication date: 3 June 1999

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050210

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zbMATH Keywords

penalized maximum likelihoodadaptationprojectionleast squares estimationsieves

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Rate of convergence, degree of approximation (41A25)

Cited In (only showing first 100 items - show all)

• Structural adaptation via \(\mathbb L_p\)-norm oracle inequalities
• Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
• Mixing least-squares estimators when the variance is unknown
• A cross-validation based estimation of the proportion of true null hypotheses
• Some applications of concentration inequalities to statistics
• Thresholding algorithms, maxisets and well-concentrated bases
• Sharp oracle inequalities for aggregation of affine estimators
• Nearly optimal minimax estimator for high-dimensional sparse linear regression
• Minimax nonparametric classification. II. Model selection for adaptation
• A new algorithm for fixed design regression and denoising
• Upper functions for \(\mathbb{L}_{p}\)-norms of Gaussian random fields
• M-estimation using penalties or sieves
• Upper functions for positive random functionals. I: General setting and Gaussian random functions
• Minimax estimation of the conditional cumulative distribution function
• Nonparametric density estimation in presence of bias and censoring
• Model selection in nonparametric regression
• A Bernstein-type inequality for suprema of random processes with applications to model selection in non-Gaussian regression
• Combining regular and irregular histograms by penalized likelihood
• Risk hull method and regularization by projections of ill-posed inverse problems
• Nonparametric weighted estimators for biased data
• Combining different procedures for adaptive regression
• Model selection for regression on a fixed design
• Smooth discrimination analysis
• Minimal penalty for Goldenshluger-Lepski method
• Uniform bounds for norms of sums of independent random functions
• Estimation and model selection for model-based clustering with the conditional classification likelihood
• Optimal model selection in density estimation
• 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
• Optimal adaptive estimation of the relative density
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• Adaptive estimation of a quadratic functional by model selection.
• Mixing strategies for density estimation.
• An exponential inequality under weak dependence
• Another look at statistical learning theory and regularization
• ADAPTIVE ESTIMATION OF FUNCTIONALS IN NONPARAMETRIC INSTRUMENTAL REGRESSION
• Model selection by resampling penalization
• The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
• Empirical Bayesian test of the smoothness
• Anisotropic function estimation using multi-bandwidth Gaussian processes
• A new method for estimation and model selection: \(\rho\)-estimation
• Multiscale likelihood analysis and complexity penalized estimation.
• Non-asymptotic adaptive prediction in functional linear models
• Adaptive estimation of a distribution function and its density in sup-norm loss by wavelet and spline projections
• Compound decision theory and empirical Bayes methods
• Adaptive pointwise estimation of conditional density function
• Near-ideal model selection by \(\ell _{1}\) minimization
• Local Rademacher complexities and oracle inequalities in risk minimization. (2004 IMS Medallion Lecture). (With discussions and rejoinder)
• Aggregation for Gaussian regression
• Non-parametric estimation of the diffusion coefficient from noisy data
• Central limit theorems for the non-parametric estimation of time-changed Lévy models
• General empirical Bayes wavelet methods and exactly adaptive minimax estimation
• Asymptotic Equivalence of Regularization Methods in Thresholded Parameter Space
• Adaptive estimation of the conditional intensity of marker-dependent counting processes
• Rates of convergence of posterior distributions.
• Global risk bounds and adaptation in univariate convex regression
• On the number of groups in clustering
• Minimal penalties for Gaussian model selection
• Oracle posterior contraction rates under hierarchical priors
• Consistent covariate selection and post model selection inference in semiparametric regression.
• Adaptive estimation of linear functionals in functional linear models
• Nonparametric adaptive estimation for integrated diffusions
• Penalized nonparametric mean square estimation of the coefficients of diffusion processes
• New dependence coefficients. Examples and applications to statistics
• How many bins should be put in a regular histogram
• Model selection for Gaussian regression with random design
• Random rates in anisotropic regression. (With discussion)
• Information-theoretic determination of minimax rates of convergence
• Model selection and sharp asymptotic minimaxity
• Inhomogeneous and anisotropic conditional density estimation from dependent data
• Model selection for (auto-)regression with dependent data
• APPLE: approximate path for penalized likelihood estimators
• Risk hull method for spectral regularization in linear statistical inverse problems
• Detection of multiple changes in a sequence of dependent variables
• The Stein hull
• Covariate selection for semiparametric hazard function regression models
• Warped bases for conditional density estimation
• Segmentation of the mean of heteroscedastic data via cross-validation
• A survey of cross-validation procedures for model selection
• Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment
• Adaptive Bayesian estimation using a Gaussian random field with inverse gamma bandwidth
• Simultaneous confidence bands for Yule-Walker estimators and order selection
• Gaussian model selection with an unknown variance
• Consistency of Bernstein Polynomial Posteriors
• Estimating the intensity of a random measure by histogram type estimators
• Penalized projection estimators of the Aalen multiplicative intensity
• An Invitation to Quantum Tomography
• Model selection for regression on a random design
• Estimator selection with respect to Hellinger-type risks
• Theory of Classification: a Survey of Some Recent Advances
• High-dimensional regression with unknown variance
• Improved model selection method for a regression function with dependent noise
• Adaptive estimation of the transition density of a particular hidden Markov chain
• Sharp non-asymptotic oracle inequalities for non-parametric heteroscedastic regression models
• Adaptive circular deconvolution by model selection under unknown error distribution
• Adaptively combined forecasting for discrete response time series
• Parametric or nonparametric? A parametricness index for model selection
• Post-Model-Selection Method for Density Estimation
• Bin width selection in multivariate histograms by the combinatorial method
• Estimator selection: a new method with applications to kernel density estimation
• A new approach to estimator selection

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