A General Framework of Dual Certificate Analysis for Structured Sparse Recovery Problems

This paper develops a general theoretical framework to analyze structured sparse recovery problems using the notation of dual certificate. Although certain aspects of the dual certificate idea have already been used in some previous work, due to the lack of a general and coherent theory, the analysis has so far only been carried out in limited scopes for specific problems. In this context the current paper makes two contributions. First, we introduce a general definition of dual certificate, which we then use to develop a unified theory of sparse recovery analysis for convex programming. Second, we present a class of structured sparsity regularization called structured Lasso for which calculations can be readily performed under our theoretical framework. This new theory includes many seemingly loosely related previous work as special cases; it also implies new results that improve existing ones even for standard formulations such as L1 regularization

General empirical Bayes wavelet methods and exactly adaptive minimax estimation

In many statistical problems, stochastic signals can be represented as a sequence of noisy wavelet coefficients. In this paper, we develop general empirical Bayes methods for the estimation of true signal. Our estimators approximate certain oracle separable rules and achieve adaptation to ideal risks and exact minimax risks in broad collections of classes of signals. In particular, our estimators are uniformly adaptive to the minimum risk of separable estimators and the exact minimax risks simultaneously in Besov balls of all smoothness and shape indices, and they are uniformly superefficient in convergence rates in all compact sets in Besov spaces with a finite secondary shape parameter. Furthermore, in classes nested between Besov balls of the same smoothness index, our estimators dominate threshold and James-Stein estimators within an infinitesimal fraction of the minimax risks. More general block empirical Bayes estimators are developed. Both white noise with drift and nonparametric regression are considered.Comment: Published at http://dx.doi.org/10.1214/009053604000000995 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Discussion: One-step sparse estimates in nonconcave penalized likelihood models

Discussion of ``One-step sparse estimates in nonconcave penalized likelihood models'' [arXiv:0808.1012]Comment: Published in at http://dx.doi.org/10.1214/07-AOS0316C the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Estimation of sums of random variables: Examples and information bounds

This paper concerns the estimation of sums of functions of observable and unobservable variables. Lower bounds for the asymptotic variance and a convolution theorem are derived in general finite- and infinite-dimensional models. An explicit relationship is established between efficient influence functions for the estimation of sums of variables and the estimation of their means. Certain ``plug-in'' estimators are proved to be asymptotically efficient in finite-dimensional models, while ``$u,v$'' estimators of Robbins are proved to be efficient in infinite-dimensional mixture models. Examples include certain species, network and data confidentiality problems.Comment: Published at http://dx.doi.org/10.1214/009053605000000390 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org