Electronic Journal of Statistics
- Electron. J. Statist.
- Volume 3 (2009), 176-204.
General oracle inequalities for model selection
Model selection is often performed by empirical risk minimization. The quality of selection in a given situation can be assessed by risk bounds, which require assumptions both on the margin and the tails of the losses used. Starting with examples from the 3 basic estimation problems, regression, classification and density estimation, we formulate risk bounds for empirical risk minimization and prove them at a very general level, for general margin and power tail behavior of the excess losses. These bounds we then apply to typical examples.
Electron. J. Statist., Volume 3 (2009), 176-204.
First available in Project Euclid: 3 March 2009
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Mitchell, Charles; van de Geer, Sara. General oracle inequalities for model selection. Electron. J. Statist. 3 (2009), 176--204. doi:10.1214/08-EJS254. https://projecteuclid.org/euclid.ejs/1236089916