On oracle inequalities related to data-driven hard thresholding

DOI10.1007/S00440-010-0280-0zbMATH Open1230.62037OpenAlexW2033413726MaRDI QIDQ718892FDOQ718892

Authors: Yu. Golubev 

Publication date: 27 September 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00440-010-0280-0

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zbMATH Keywords

penalizationoracle inequalityempirical risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes (62M99) Estimation in multivariate analysis (62H12)

Cites Work

• Weak convergence and empirical processes. With applications to statistics
• Ideal spatial adaptation by wavelet shrinkage
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• Adapting to unknown sparsity by controlling the false discovery rate
• The risk inflation criterion for multiple regression
• Minimal penalties for Gaussian model selection
• Risk hull method and regularization by projections of ill-posed inverse problems
• The Covariance Inflation Criterion for Adaptive Model Selection
• On optimality of Bayesian testimation in the normal means problem
• Ordered linear smoothers

Cited In (1)

• Sparse model selection under heterogeneous noise: exact penalisation and data-driven thresholding

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