Optimal adaptive estimation of linear functionals under sparsity
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Publication:1991697
DOI10.1214/17-AOS1653zbMATH Open1456.62141arXiv1611.09744MaRDI QIDQ1991697FDOQ1991697
Authors: Olivier Collier, Alexandre B. Tsybakov, Nicolas Verzelen, Laetitia Comminges 
Publication date: 30 October 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We consider the problem of estimation of a linear functional in the Gaussian sequence model where the unknown vector theta in R^d belongs to a class of s-sparse vectors with unknown s. We suggest an adaptive estimator achieving a non-asymptotic rate of convergence that differs from the minimax rate at most by a logarithmic factor. We also show that this optimal adaptive rate cannot be improved when s is unknown. Furthermore, we address the issue of simultaneous adaptation to s and to the variance sigma^2 of the noise. We suggest an estimator that achieves the optimal adaptive rate when both s and sigma^2 are unknown.
Full work available at URL: https://arxiv.org/abs/1611.09744
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Cited In (17)
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- Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
- Minimax estimation of linear and quadratic functionals on sparsity classes
- Optimal sparsity testing in linear regression model
- Performance Guarantees for Adaptive Estimation of Sparse Signals
- An oracle approach to adaptive estimation of linear functionals in a Gaussian model
- Online Adaptive Estimation of Sparse Signals: Where RLS Meets the $\ell_1$-Norm
- On estimation of nonsmooth functionals of sparse normal means
- Optimal estimation in functional linear regression for sparse noise‐contaminated data
- Estimation of the \(\ell_2\)-norm and testing in sparse linear regression with unknown variance
- Multidimensional linear functional estimation in sparse Gaussian models and robust estimation of the mean
- Significance testing in non-sparse high-dimensional linear models
- Adaptation under probabilistic error for estimating linear functionals
- Adaptive estimation of the sparsity in the Gaussian vector model
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