Adaptive signal recovery with Subbotin noise

Joshua C. Miller and Natalia A. Stepanova

Statistics & Probability Letters, 2023, vol. 196, issue C

Abstract: In this article, we study the problem of high-dimensional variable selection. Specifically, we consider a single vector X from a sparse sequence model with Subbotin noise and derive the regions of variable selection with respect to a Hamming loss function.

Keywords: Adaptation; Almost full selector; Exact selector; Sparsity; Subbotin distribution; Variable selection (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spl.2023.109791

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