Risk bounds for model selection via penalization

DOI10.1007/S004400050210zbMATH Open0946.62036OpenAlexW1996268356MaRDI QIDQ1291160FDOQ1291160

Authors: L. Birgé, Pascal Massart, Andrew R. Barron 

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)

• 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
• 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
• Minimax and minimax adaptive estimation in multiplicative regression: locally Bayesian approach
• Optimal adaptive estimation of a quadratic functional
• Convergence rates for posterior distributions and adaptive estimation
• Convolution power kernels for density estimation
• Adaptation to anisotropy and inhomogeneity via dyadic piecewise polynomial selection
• Regression function estimation as a partly inverse problem
• Inequalities for uniform deviations of averages from expectations with applications to nonparametric regression
• Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression
• Adaptive estimation in circular functional linear models
• Density estimation by the penalized combinatorial method
• Nonlinear orthogonal series estimates for random design regression
• Square root penalty: Adaption to the margin in classification and in edge estimation
• Sieve-based confidence intervals and bands for Lévy densities
• Nonparametric estimation for stochastic volatility models
• Adaptive density estimation on bounded domains under mixing conditions
• Margin-adaptive model selection in statistical learning
• PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?
• Nonparametric regression function estimation using interaction least squares splines and complexity regularization.
• Adaptive estimation in autoregression or \(\beta\)-mixing regression via model selection
• Cumulative distribution function estimation under interval censoring case 1
• Bounding the expectation of the supremum of an empirical process over a (weak) VC-major class
• An oracle inequality for penalised projection estimation of Lévy densities from high-frequency observations
• Semiparametric Estimation by Model Selection for Locally Stationary Processes
• Adaptive estimation of mean and volatility functions in (auto-)regressive models.
• Model selection: from theory to practice
• Multivariate orthogonal series estimates for random design regression
• Image denoising: Pointwise adaptive approach
• Testing the regularity of a smooth signal
• The principle of penalized empirical risk in severely ill-posed problems
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• Asymptotically efficient estimates for nonparametric regression models
• Nonparametric adaptive estimation for integrated diffusions
• Robust model selection for a semimartingale continuous time regression from discrete data
• Estimating composite functions by model selection
• Nonparametric estimation of the stationary density and the transition density of a Markov chain
• Adaptive confidence sets in \(L^2\)
• Honest and adaptive confidence sets in \(L_p\)
• The rate of the convergence of the mean score in random sequence comparison
• Adaptive Gaussian Inverse Regression with Partially Unknown Operator
• Adaptive sequential estimation for ergodic diffusion processes in quadratic metric
• Monte Carlo algorithms for optimal stopping and statistical learning
• Information-theoretic determination of minimax rates of convergence
• General model selection estimation of a periodic regression with a Gaussian noise
• Lasso in Infinite dimension: application to variable selection in functional multivariate linear regression
• Inconsistency of the MLE for the Joint Distribution of Interval‐Censored Survival Times and Continuous Marks
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• Adaptive complexity regularization for linear inverse problems
• Asymptotically exact minimax estimation in sup-norm for anisotropic Hölder classes
• Adaptive kernel methods using the balancing principle
• General oracle inequalities for model selection
• Adaptive functional linear regression
• Optimal dyadic decision trees
• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes
• Post-model-selection method for density estimation
• Adaptive estimation with soft thresholding penalties
• General nonexact oracle inequalities for classes with a subexponential envelope
• Adaptive estimation of linear functionals by model selection
• FAST RATES FOR ESTIMATION ERROR AND ORACLE INEQUALITIES FOR MODEL SELECTION
• On improved loss estimation for shrinkage estimators
• Adaptive regression estimation with multilayer feedforward neural networks
• Risk bounds for statistical learning
• Efficient robust nonparametric estimation in a semimartingale regression model
• Adaptive estimation of the hazard rate with multiplicative censoring
• On risk bounds in isotonic and other shape restricted regression problems
• Robust feature screening procedures for single and mixed types of data
• Honest adaptive confidence bands and self-similar functions
• Sparsity in penalized empirical risk minimization
• Adaptive nonparametric confidence sets
• Exact adaptive pointwise estimation on Sobolev classes of densities
• 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

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