4,325 research outputs found
Rodeo: Sparse Nonparametric Regression in High Dimensions
We present a greedy method for simultaneously performing local bandwidth
selection and variable selection in nonparametric regression. The method starts
with a local linear estimator with large bandwidths, and incrementally
decreases the bandwidth of variables for which the gradient of the estimator
with respect to bandwidth is large. The method--called rodeo (regularization of
derivative expectation operator)--conducts a sequence of hypothesis tests to
threshold derivatives, and is easy to implement. Under certain assumptions on
the regression function and sampling density, it is shown that the rodeo
applied to local linear smoothing avoids the curse of dimensionality, achieving
near optimal minimax rates of convergence in the number of relevant variables,
as if these variables were isolated in advance
Quantized Estimation of Gaussian Sequence Models in Euclidean Balls
A central result in statistical theory is Pinsker's theorem, which
characterizes the minimax rate in the normal means model of nonparametric
estimation. In this paper, we present an extension to Pinsker's theorem where
estimation is carried out under storage or communication constraints. In
particular, we place limits on the number of bits used to encode an estimator,
and analyze the excess risk in terms of this constraint, the signal size, and
the noise level. We give sharp upper and lower bounds for the case of a
Euclidean ball, which establishes the Pareto-optimal minimax tradeoff between
storage and risk in this setting.Comment: Appearing at NIPS 201
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