Optimal exponential bounds for aggregation of density estimators

DOI10.3150/15-BEJ742zbMATH Open1368.62085arXiv1405.3907OpenAlexW3106017925WikidataQ115488551 ScholiaQ115488551MaRDI QIDQ502865FDOQ502865

Authors: Pierre C. Bellec 

Publication date: 11 January 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the problem of model selection type aggregation in the context of density estimation. We first show that empirical risk minimization is sub-optimal for this problem and it shares this property with the exponential weights aggregate, empirical risk minimization over the convex hull of the dictionary functions, and all selectors. Using a penalty inspired by recent works on the $Q$-aggregation procedure, we derive a sharp oracle inequality in deviation under a simple boundedness assumption and we show that the rate is optimal in a minimax sense. Unlike the procedures based on exponential weights, this estimator is fully adaptive under the uniform prior. In particular, its construction does not rely on the sup-norm of the unknown density. By providing lower bounds with exponential tails, we show that the deviation term appearing in the sharp oracle inequalities cannot be improved.

Full work available at URL: https://arxiv.org/abs/1405.3907

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zbMATH Keywords

density estimatorssharp oracle inequality

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08)

Cited In (11)

• Localized Gaussian width of \(M\)-convex hulls with applications to Lasso and convex aggregation
• Optimal Kullback-Leibler aggregation in mixture density estimation by maximum likelihood
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• A unified scheme for generalizing cardinality estimators to sum aggregation
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