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2012 Oracle inequalities for cross-validation type procedures
Guillaume Lecué, Charles Mitchell
Electron. J. Statist. 6: 1803-1837 (2012). DOI: 10.1214/12-EJS730

Abstract

We prove oracle inequalities for three different types of adaptation procedures inspired by cross-validation and aggregation. These procedures are then applied to the construction of Lasso estimators and aggregation with exponential weights with data-driven regularization and temperature parameters, respectively. We also prove oracle inequalities for the cross-validation procedure itself under some convexity assumptions.

Citation

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Guillaume Lecué. Charles Mitchell. "Oracle inequalities for cross-validation type procedures." Electron. J. Statist. 6 1803 - 1837, 2012. https://doi.org/10.1214/12-EJS730

Information

Published: 2012
First available in Project Euclid: 4 October 2012

zbMATH: 1295.62051
MathSciNet: MR2988465
Digital Object Identifier: 10.1214/12-EJS730

Subjects:
Primary: 62G99

Keywords: Adaptation , Aggregation , cross-validation , Sparsity

Rights: Copyright © 2012 The Institute of Mathematical Statistics and the Bernoulli Society

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