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高维多响应回归中系数矩阵秩的自适应估计AI 解读

We consider the multivariate response regression problem with a regression coefficient matrix of low, unknown rank. In this setting, we analyze a new criterion for selecting the optimal reduced rank. This criterion differs notably from the one proposed in Bunea, She and Wegkamp (Ann. Statist. 39 (2011) 1282–1309) in that it does not require estimation of the unknown variance of the noise, nor does it depend on a delicate choice of a tuning parameter. We develop an iterative,…

高维矩阵简约估计中的变量与秩联合选择AI 解读

We propose dimension reduction methods for sparse, high-dimensional multivariate response regression models. Both the number of responses and that of the predictors may exceed the sample size. Sometimes viewed as complementary, predictor selection and rank reduction are the most popular strategies for obtaining lower-dimensional approximations of the parameter matrix in such models. We show in this article that important gains in prediction accuracy can be obtained by…

函数型数据中高斯过程均值的自适应推断AI 解读

Summary We propose and analyse fully data-driven methods for inference about the mean function of a Gaussian process from a sample of independent trajectories of the process, observed at random time points and corrupted by additive random error. Our methods are based on thresholded least squares estimators relative to an approximating function basis. The variable threshold levels are determined from the data and the resulting estimates adapt to the unknown sparsity of the…

高维矩阵降秩估计量的最优选择AI 解读

We introduce a new criterion, the Rank Selection Criterion (RSC), for selecting the optimal reduced rank estimator of the coefficient matrix in multivariate response regression models. The corresponding RSC estimator minimizes the Frobenius norm of the fit plus a regularization term proportional to the number of parameters in the reduced rank model. The rank of the RSC estimator provides a consistent estimator of the rank of the coefficient matrix; in general, the rank of…

SPADES 稀疏密度估计与混合模型AI 解读

This paper studies sparse density estimation via ℓ1 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…

高斯回归中的聚合AI 解读

This paper studies statistical aggregation procedures in the regression setting. A motivating factor is the existence of many different methods of estimation, leading to possibly competing estimators. We consider here three different types of aggregation: model selection (MS) aggregation, convex (C) aggregation and linear (L) aggregation. The objective of (MS) is to select the optimal single estimator from the list; that of (C) is to select the optimal convex combination of…

局部线性回归平滑器的带宽选择AI 解读

Summary The paper presents a general strategy for selecting the bandwidth of nonparametric regression estimators and specializes it to local linear regression smoothers. The procedure requires the sample to be divided into a training sample and a testing sample. Using the training sample we first compute a family of regression smoothers indexed by their bandwidths. Next we select the bandwidth by minimizing the empirical quadratic prediction error on the testing sample. The…

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