Ordered smoothers with exponential weighting

DOI10.1214/13-EJS849zbMATH Open1349.62129arXiv1211.4207OpenAlexW2081283819MaRDI QIDQ372129FDOQ372129

Ekaterina Krymova, Elena Chernousova, Yu. Golubev

Publication date: 14 October 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: The main goal in this paper is to propose a new method for deriving oracle inequalities related to the exponential weighting method. For the sake of simplicity we focus on recovering an unknown vector from noisy data with the help of a family of ordered smoothers. The estimators withing this family are aggregated using the exponential weighting and the aim is to control the risk of the aggregated estimate. Based on simple probabilistic properties of the unbiased risk estimate, we derive new oracle inequalities and show that the exponential weighting permits to improve Kneip's oracle inequality.

Full work available at URL: https://arxiv.org/abs/1211.4207

zbMATH Keywords

linear modelexponential weightingordered smoother

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Statistical decision theory (62C99)

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• Early stopping for statistical inverse problems via truncated SVD estimation
• Rank order smoothers with two-dimensional data model
• Concentration inequalities for the exponential weighting method
• Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions
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