SPADES and mixture models
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Abstract: This paper studies sparse density estimation via penalization (SPADES). We focus on estimation in high-dimensional mixture models and nonparametric adaptive density estimation. We show, respectively, that SPADES can recover, with high probability, the unknown components of a mixture of probability densities and that it yields minimax adaptive density estimates. These results are based on a general sparsity oracle inequality that the SPADES estimates satisfy. We offer a data driven method for the choice of the tuning parameter used in the construction of SPADES. The method uses the generalized bisection method first introduced in citebb09. The suggested procedure bypasses the need for a grid search and offers substantial computational savings. We complement our theoretical results with a simulation study that employs this method for approximations of one and two-dimensional densities with mixtures. The numerical results strongly support our theoretical findings.
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Cited in
(21)- Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization
- Sparse Density Estimation with ℓ1 Penalties
- Minimax bounds for Besov classes in density estimation
- Penalized logspline density estimation using total variation penalty
- Proximal distance algorithms: theory and practice
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- Convex Optimization, Shape Constraints, Compound Decisions, and Empirical Bayes Rules
- High-dimensional additive hazards models and the lasso
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