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This paper addresses the problem of model selection in the sequence model $Y=\theta+\varepsilon\xi$, when $\xi$ is sub-Gaussian, for non-euclidian loss-functions.
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Concentration Inequalities and Model Selection (Saint-Flour Summer School on Probability Theory 2003, ed. J. Picard)
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High-Dimensional Probability: An introduction with applications in data science
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