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• W1830254893 abstract "We consider model selection in generalized linear models (GLM) for high-dimensional data and propose a wide class of model selection criteria based on penalized maximum likelihood with a complexity penalty on the model size. We derive a general nonasymptotic upper bound for the expected Kullback-Leibler divergence between the true distribution of the data and that generated by a selected model, and establish the corresponding minimax lower bounds for sparse GLM. For the properly chosen (nonlinear) penalty, the resulting penalized maximum likelihood estimator is shown to be asymptotically minimax and adaptive to the unknown sparsity. We discuss also possible extensions of the proposed approach to model selection in GLM under additional structural constraints and aggregation." @default.
• W1830254893 created "2016-06-24" @default.
• W1830254893 creator A5002404593 @default.
• W1830254893 creator A5016582623 @default.
• W1830254893 date "2014-09-30" @default.
• W1830254893 modified "2023-09-27" @default.
• W1830254893 title "Model selection and minimax estimation in generalized linear models" @default.
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• W1830254893 hasPublicationYear "2014" @default.
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