Exact minimax estimation of the predictive density in sparse Gaussian models

DOI10.1214/14-AOS1251zbMath1328.62058arXiv1211.2071WikidataQ38955313 ScholiaQ38955313MaRDI QIDQ2352732

Iain M. Johnstone, Gourab Mukherjee

Publication date: 6 July 2015

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

Full work available at URL: https://arxiv.org/abs/1211.2071

zbMATH Keywords

minimaxmutual informationthresholdingsparsitypredictive densityhigh-dimensionalrisk diversificationplug-in risk

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Minimax procedures in statistical decision theory (62C20) Prediction theory (aspects of stochastic processes) (60G25)

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