Optimal prediction for linear regression with infinitely many parameters.

DOI10.1016/S0047-259X(02)00006-4zbMATH Open1038.62058MaRDI QIDQ1867192FDOQ1867192

Authors: Alexander Goldenshluger, Alexandre B. Tsybakov 

Publication date: 2 April 2003

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

asymptotics of minimax riskLinear regression with infinitely many parametersOptimal predictionPinsker filter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

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• Asymptotically efficient signal estimation in \(L_2\) under general loss functions
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• Extremal problems in minimax estimation of sequences

Cited In (7)

• 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
• Asymptotic minimax risk of predictive density estimation for non-parametric regression
• Adaptive estimation of linear functionals in functional linear models
• Sharp adaptive estimation by a blockwise method
• Adaptive prediction and estimation in linear regression with infinitely many parameters.
• Adaptive functional linear regression
• Ridge regression and asymptotic minimax estimation over spheres of growing dimension

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