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- W4360891914 abstract "The multi-index model with sparse dimension reduction matrix is a popular approach to circumvent the curse of dimensionality in a high-dimensional regression setting. Building on the single-index analysis by Alquier, P. & Biau, G. (Journal of Machine Learning Research 14 (2013) 243-280), we develop a PAC-Bayesian estimation method for a possibly misspecified multi-index model with unknown active dimension and an orthogonal dimension reduction matrix. Our main result is a non-asymptotic oracle inequality, which shows that the estimation method adapts to the active dimension of the model, the sparsity of the dimension reduction matrix and the regularity of the link function. Under a Sobolev regularity assumption on the link function the estimator achieves the minimax rate of convergence (up to a logarithmic factor) and no additional price is paid for the unknown active dimension." @default.
- W4360891914 created "2023-03-25" @default.
- W4360891914 creator A5064043468 @default.
- W4360891914 date "2023-03-23" @default.
- W4360891914 modified "2023-10-16" @default.
- W4360891914 title "PAC-Bayes Bounds for High-Dimensional Multi-Index Models with Unknown Active Dimension" @default.
- W4360891914 doi "https://doi.org/10.48550/arxiv.2303.13474" @default.
- W4360891914 hasPublicationYear "2023" @default.
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