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

DOI10.1214/14-EJS889MaRDI QIDQ2447094zbMATH OpenFDO

Authors Laurent Cavalier, Markus Reiß

Publication date 24 April 2014

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

Full work available at URL https://projecteuclid.org/euclid.ejs/1397826707

zbMATH Keywords

penalized empirical riskstatistical inverse problemoptimal thresholdrisk hullsparse oracle inequalityfull subset selectionheteroskedastic noise

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Linear regression; mixed models (62J05)

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Cited in

(4)

• Non-asymptotic bounds for percentiles of independent non-identical random variables
• Solution of linear ill-posed problems using overcomplete dictionaries
• Solution of linear ill-posed problems using random dictionaries
• Adaptive signal recovery with Subbotin noise

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