Statistical inference for the optimal approximating model
نویسندگان
چکیده
منابع مشابه
Statistical Inference for the Optimal Approximating Model
Abstract: In the setting of high-dimensional linear models with Gaussian noise, we investigate the possibility of confidence statements connected to model selection. Although there exist numerous procedures for adaptive (point) estimation, the construction of adaptive confidence regions is severely limited (cf. Li, 1989). The present paper sheds new light on this gap. We develop exact and adapt...
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2012
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s00440-012-0414-7