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2013 Ordered smoothers with exponential weighting
Elena Chernousova, Yuri Golubev, Ekaterina Krymova
Electron. J. Statist. 7: 2395-2419 (2013). DOI: 10.1214/13-EJS849

Abstract

The main goal in this paper is to propose a new approach to deriving oracle inequalities related to the exponential weighting method. The paper focuses on recovering an unknown vector from noisy data with the help of the family of ordered smoothers [12]. The estimators withing this family are aggregated using the exponential weighting method and the aim is to control the risk of the aggregated estimate. Based on the natural probabilistic properties of the unbiased risk estimate, we derive new oracle inequalities for the mean square risk and show that the exponential weighting permits to improve Kneip’s oracle inequality.

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Elena Chernousova. Yuri Golubev. Ekaterina Krymova. "Ordered smoothers with exponential weighting." Electron. J. Statist. 7 2395 - 2419, 2013. https://doi.org/10.1214/13-EJS849

Information

Published: 2013
First available in Project Euclid: 30 September 2013

zbMATH: 1349.62129
MathSciNet: MR3108818
Digital Object Identifier: 10.1214/13-EJS849

Subjects:
Primary: 62C99
Secondary: 62C10, 62C20, 62J05

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

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