Adaptive Minimax Estimation over Sparse lq-Hulls

Zhan Wang, Sandra Paterlini, Fuchang Gao and Yuhong Yang

Center for Economic Research (RECent) from University of Modena and Reggio E., Dept. of Economics "Marco Biagi"

Abstract: Given a dictionary of Mn initial estimates of the unknown true regression function, we aim to construct linearly aggregated estimators that target the best performance among all the linear combinations under a sparse q-norm (0

Keywords: minimax risk; adaptive estimation; sparse lq-constraint; linear combining; aggregation; model mixing; model selection (search for similar items in EconPapers)
Pages: pages 78
Date: 2012-01
New Economics Papers: this item is included in nep-ecm
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Working Paper: Adaptive Minimax Estimation over Sparse l q-Hulls (2012)
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