The Annals of Statistics

Bootstrap tuning in Gaussian ordered model selection

Vladimir Spokoiny and Niklas Willrich

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Abstract

The paper focuses on the problem of model selection in linear Gaussian regression with unknown possibly inhomogeneous noise. For a given family of linear estimators $\{\widetilde{\boldsymbol{{\theta}}}_{m},m\in\mathscr{M}\}$, ordered by their variance, we offer a new “smallest accepted” approach motivated by Lepski’s device and the multiple testing idea. The procedure selects the smallest model which satisfies the acceptance rule based on comparison with all larger models. The method is completely data-driven and does not use any prior information about the variance structure of the noise: its parameters are adjusted to the underlying possibly heterogeneous noise by the so-called “propagation condition” using a wild bootstrap method. The validity of the bootstrap calibration is proved for finite samples with an explicit error bound. We provide a comprehensive theoretical study of the method, describe in details the set of possible values of the selected model $\widehat{m}\in\mathscr{M}$ and establish some oracle error bounds for the corresponding estimator $\widehat{\boldsymbol{{\theta}}}=\widetilde{\boldsymbol{{\theta}}}_{\widehat{m}}$.

Article information

Source
Ann. Statist., Volume 47, Number 3 (2019), 1351-1380.

Dates
Received: July 2015
Revised: April 2018
First available in Project Euclid: 13 February 2019

Permanent link to this document
https://projecteuclid.org/euclid.aos/1550026841

Digital Object Identifier
doi:10.1214/18-AOS1717

Mathematical Reviews number (MathSciNet)
MR3911115

Subjects
Primary: 62G05: Estimation
Secondary: 62G09: Resampling methods 62J15: Paired and multiple comparisons

Keywords
Smallest accepted oracle propagation condition

Citation

Spokoiny, Vladimir; Willrich, Niklas. Bootstrap tuning in Gaussian ordered model selection. Ann. Statist. 47 (2019), no. 3, 1351--1380. doi:10.1214/18-AOS1717. https://projecteuclid.org/euclid.aos/1550026841


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Supplemental materials

  • Some auxiliary results. The supplement collects some useful technical facts and extensions.