Adaptive Dantzig density estimation
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Publication:629798
DOI10.1214/09-AIHP351zbMATH Open1207.62077arXiv0905.0884MaRDI QIDQ629798FDOQ629798
Authors: Karine Bertin, E. Le Pennec, V. Rivoirard 
Publication date: 10 March 2011
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: This paper deals with the problem of density estimation. We aim at building an estimate of an unknown density as a linear combination of functions of a dictionary. Inspired by Cand`es and Tao's approach, we propose an -minimization under an adaptive Dantzig constraint coming from sharp concentration inequalities. This allows to consider a wide class of dictionaries. Under local or global coherence assumptions, oracle inequalities are derived. These theoretical results are also proved to be valid for the natural Lasso estimate associated with our Dantzig procedure. Then, the issue of calibrating these procedures is studied from both theoretical and practical points of view. Finally, a numerical study shows the significant improvement obtained by our procedures when compared with other classical procedures.
Full work available at URL: https://arxiv.org/abs/0905.0884
Recommendations
density estimationsparsitycalibrationoracle inequalitiesconcentration inequalitiesdictionaryDantzig estimatelasso estimate
Nonparametric estimation (62G05) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)
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Cited In (21)
- Adaptive estimation of the baseline hazard function in the Cox model by model selection, with high-dimensional covariates
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