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2019

General framework for projection structures

Belitser, Eduard, Nurushev, Nurzhan

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In the first part, we develop a general framework for projection structures and study several inference problems within this framework.

We propose procedures based on data dependent measures (DDM) and make connections with empirical Bayes and penalization methods.
The main inference problem is the uncertainty quantification (UQ), but on the way we solve the estimation, DDM-contraction problems, and a weak version of the structure recovery problem.
The approach is local in that the quality of the inference procedures is measured by the local quantity, the oracle rate, which is the best trade-off between the approximation error by a projection structure and the complexity of that approximating projection structure.

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Pinsker, M
1980
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Li, K.-C
1989
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Donoho, D.L
1992
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Donoho, D.L
1994
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Belitser, E
1995
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Ghosal, S
2000
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Nemirovski, A
2000
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Birgé, L
2001
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Belitser, E
2003
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Baraud, Y
2004
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Belkin, M
2004
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Cai, T.T
2004
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Robins, J
2006
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Bunea, F
2007
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van der Vaart, A.W
2008
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Babenko, A
2010
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Cai, T.T
2010
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