The Annals of Statistics
- Ann. Statist.
- Volume 38, Number 1 (2010), 482-511.
Empirical risk minimization in inverse problems
We study estimation of a multivariate function f : Rd→R when the observations are available from the function Af, where A is a known linear operator. Both the Gaussian white noise model and density estimation are studied. We define an L2-empirical risk functional which is used to define a δ-net minimizer and a dense empirical risk minimizer. Upper bounds for the mean integrated squared error of the estimators are given. The upper bounds show how the difficulty of the estimation depends on the operator through the norm of the adjoint of the inverse of the operator and on the underlying function class through the entropy of the class. Corresponding lower bounds are also derived. As examples, we consider convolution operators and the Radon transform. In these examples, the estimators achieve the optimal rates of convergence. Furthermore, a new type of oracle inequality is given for inverse problems in additive models.
Ann. Statist., Volume 38, Number 1 (2010), 482-511.
First available in Project Euclid: 31 December 2009
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Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62G07: Density estimation
Klemelä, Jussi; Mammen, Enno. Empirical risk minimization in inverse problems. Ann. Statist. 38 (2010), no. 1, 482--511. doi:10.1214/09-AOS726. https://projecteuclid.org/euclid.aos/1262271621