Penalized maximum likelihood estimation and effective dimension

DOI10.1214/15-AIHP720zbMath1421.62021arXiv1205.0498OpenAlexW2963550177MaRDI QIDQ520783

Vladimir Spokoiny

Publication date: 6 April 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1205.0498

zbMATH Keywords

maximum likelihood estimationpenaltyWilks and Fisher expansions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Point estimation (62F10) Generalized linear models (logistic models) (62J12)

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Gaussian approximation for penalized Wasserstein barycenters ⋮ On accuracy of Gaussian approximation in Bayesian semiparametric problems ⋮ On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model ⋮ The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square ⋮ Large ball probabilities, Gaussian comparison and anti-concentration

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