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Register a new userDiscussion: The Dantzig selector: Statistical estimation when $p$ is much larger than $n$
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Added by
Michael A. Saunders
Publication date
2008
fields
Mathematical Statistics
and research's language is
English
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Discussion of ``The Dantzig selector: Statistical estimation when $p$ is much larger than $n$ [math/0506081]
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Physical processes thatobtain, process, and erase information involve tradeoffs between information and energy. The fundamental energetic value of a bit of information exchanged with a reservoir at temperature T is kT ln2. This paper investigates the situation in which information is missing about just what physical process is about to take place. The fundamental energetic value of such information can be far greater than kT ln2 per bit.
We propose a generalized version of the Dantzig selector. We show that it satisfies sparsity oracle inequalities in prediction and estimation. We consider then the particular case of high-dimensional linear regression model selection with the Huber loss function. In this case we derive the sup-norm convergence rate and the sign concentration property of the Dantzig estimators under a mutual coherence assumption on the dictionary.
Supergranules are believed to be an evidence for large-scale subsurface convection. The vertical component of the supergranular flow field is very hard to measure, but it is considered only a few m/s in and below the photosphere. Here I present the results of the analysis using three-dimensional inversion for time-distance helioseismology that indicate existence of the large-magnitude vertical upflow in the near sub-surface layers. Possible issues and consequences of this inference are also discussed.
We consider a linear model where the coefficients - intercept and slopes - are random with a law in a nonparametric class and independent from the regressors. Identification often requires the regressors to have a support which is the whole space. This is hardly ever the case in practice. Alternatively, the coefficients can have a compact support but this is not compatible with unbounded error terms as usual in regression models. In this paper, the regressors can have a support which is a proper subset but the slopes (not the intercept) do not have heavy-tails. Lower bounds on the supremum risk for the estimation of the joint density of the random coefficients density are obtained for a wide range of smoothness, where some allow for polynomial and nearly parametric rates of convergence. We present a minimax optimal estimator, a data-driven rule for adaptive estimation, and made available a R package.
We present a geometrical method for analyzing sequential estimating procedures. It is based on the design principle of the second-order efficient sequential estimation provided in Okamoto, Amari and Takeuchi (1991). By introducing a dual conformal curvature quantity, we clarify the conditions for the covariance minimization of sequential estimators. These conditions are further elabolated for the multidimensional curved exponential family. The theoretical results are then numerically examined by using typical statistical models, von Mises-Fisher and hyperboloid models.
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