On minimax optimality of sparse Bayes predictive density estimates

DOI10.1214/21-AOS2086zbMath1486.62094arXiv1707.04380OpenAlexW2734477552MaRDI QIDQ2119220

Gourab Mukherjee, Iain M. Johnstone

Publication date: 23 March 2022

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.04380

zbMATH Keywords

sparsitypredictive densityhigh dimensionalleast favorable priorspike and slabasymptotic minimaxityproper Bayes rule

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Minimax procedures in statistical decision theory (62C20) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items

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Uses Software

• EBayesThresh

Cites Work

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