Optimal model selection in heteroscedastic regression using piecewise polynomial functions
From MaRDI portal
Publication:1951154
DOI10.1214/13-EJS803zbMath1337.62083arXiv1104.1050MaRDI QIDQ1951154
Publication date: 29 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.1050
nonparametric regression; random design; heteroscedastic noise; slope heuristics; optimal model selection; hold-out penalty
62G08: Nonparametric regression and quantile regression
62J02: General nonlinear regression
62G09: Nonparametric statistical resampling methods
Related Items
Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases, Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields, Concentration behavior of the penalized least squares estimator, Discussion of ``On concentration for (regularized) empirical risk minimization by Sara van de Geer and Martin Wainwright, Estimator selection: a new method with applications to kernel density estimation, Non-parametric Poisson regression from independent and weakly dependent observations by model selection
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal model selection in density estimation
- Optimal model selection for density estimation of stationary data under various mixing condi\-tions
- A high-dimensional Wilks phenomenon
- Slope heuristics: overview and implementation
- Aggregation via empirical risk minimization
- Gaussian model selection with an unknown variance
- A tail inequality for suprema of unbounded empirical processes with applications to Markov chains
- Minimum contrast estimators on sieves: Exponential bounds and rates of convergence
- Risk bounds for model selection via penalization
- Rates of convergence for minimum contrast estimators
- Sharp oracle inequalities for aggregation of affine estimators
- Optimal upper and lower bounds for the true and empirical excess risks in heteroscedastic least-squares regression
- Model selection by resampling penalization
- Minimal penalties for Gaussian model selection
- Local Rademacher complexities and oracle inequalities in risk minimization. (2004 IMS Medallion Lecture). (With discussions and rejoinder)
- Aggregation for Gaussian regression
- Statistical predictor identification
- Local Rademacher complexities
- Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
- Information Theory and Mixing Least-Squares Regressions
- Rademacher penalties and structural risk minimization
- Aggregation by Exponential Weighting and Sharp Oracle Inequalities
- Some Comments on C P
- Gaussian model selection
- Model selection and error estimation
- Sparse estimation by exponential weighting
