Name
Title | ||
|---|---|---|
PAC-Bayesian risk bounds for group-analysis sparse regression by exponential weighting. |
Abstract | ||
|---|---|---|
In this paper, we consider a high-dimensional nonparametric regression model with fixed design and iid random errors. We propose an estimator by exponential weighted aggregation with a group-analysis sparsity and a prior on the weights. We prove that our estimator satisfies a sharp group-analysis sparse oracle inequality with a small remainder term that ensures its good theoretical performance. We also propose a forward–backward proximal Langevin Monte Carlo algorithm to sample from the target distribution (which is neither smooth nor log-concave) and derive its convergence guarantees. In turn, this enables us to implement our estimator and validate it with numerical experiments. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.jmva.2018.12.004 | Journal of Multivariate Analysis |
Keywords | Field | DocType |
62G07,62G20 | Econometrics,Weighting,Exponential function,Regression analysis,Remainder,Group analysis,Sparse regression,Statistics,Mathematics,Bayesian probability,Estimator | Journal |
Volume | ISSN | Citations |
171 | 0047-259X | 0 |
PageRank | References | Authors |
0.34 | 10 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Duy Tung Luu | 1 | 0 | 0.34 |
| Jalal Fadili | 2 | 1184 | 80.08 |
| Christophe Chesneau | 3 | 7 | 3.85 |