Optimal adaptive estimation of linear functionals under sparsity
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Publication:1991697
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.
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Cited in
(17)- Adaptive robust estimation in sparse vector model
- Adaptive estimation of high-dimensional signal-to-noise ratios
- Estimating minimum effect with outlier selection
- Sparse recovery via nonconvex regularized \(M\)-estimators over \(\ell_q\)-balls
- 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
- Estimation of the \(\ell_2\)-norm and testing in sparse linear regression with unknown variance
- Optimal estimation in functional linear regression for sparse noise‐contaminated data
- 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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