Estimator selection in the Gaussian setting

DOI10.1214/13-aihp539zbMath1298.62113arXiv1007.2096MaRDI QIDQ141397

Yannick Baraud, Sylvie Huet, Christophe Giraud, Sylvie Huet, Yannick Baraud, Christophe Giraud

Publication date: 1 August 2014

Published in: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.2096

zbMATH Keywords

model selectionridge regressionkernel estimatorvariable selectionrandom forestlassoelastic netestimator selectionlinear estimatorPLS1 regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items

Sharp oracle inequalities for aggregation of affine estimators, Low rank multivariate regression, Optimal bounds for aggregation of affine estimators, Learning from MOM's principles: Le Cam's approach, A global homogeneity test for high-dimensional linear regression, Estimator selection in the Gaussian setting, High-dimensional regression with unknown variance, A MOM-based ensemble method for robustness, subsampling and hyperparameter tuning, LINselect, Targeted cross-validation, Adaptive estimation over anisotropic functional classes via oracle approach

Uses Software

• PDCO
• GeneSrF
• foba

Cites Work

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