On the exponentially weighted aggregate with the Laplace prior

DOI10.1214/17-AOS1626zbMath1409.62135arXiv1611.08483OpenAlexW2557776807WikidataQ129370883 ScholiaQ129370883MaRDI QIDQ1800807

Edwin Grappin, Quentin Paris, Arnak S. Dalalyan

Publication date: 24 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.08483

zbMATH Keywords

exponential weightssparsityhigh-dimensional regressionoracle inequalityBayesian Lassotrace regressionlow-rank matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (4)

Concentration of information content for convex measures ⋮ User-friendly Introduction to PAC-Bayes Bounds ⋮ Matrix factorization for multivariate time series analysis ⋮ Sharp oracle inequalities for low-complexity priors

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