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Adaptive Minimax Estimation over Sparse lq-Hulls

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Listed:
  • Zhan Wang
  • Sandra Paterlini
  • Fuchang Gao
  • Yuhong Yang

Abstract

Given a dictionary of Mn initial estimates of the unknown true regression function, we aim to construct linearly aggregated estimators that target the best performance among all the linear combinations under a sparse q-norm (0

Suggested Citation

  • Zhan Wang & Sandra Paterlini & Fuchang Gao & Yuhong Yang, 2012. "Adaptive Minimax Estimation over Sparse lq-Hulls," Center for Economic Research (RECent) 078, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    • Handle: RePEc:mod:recent:078
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    Keywords

    minimax risk; adaptive estimation; sparse lq-constraint; linear combining; aggregation; model mixing; model selection;
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