PAC-Bayesian estimation and prediction in sparse additive models

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Abstract

The present paper is about estimation and prediction in highdimensional additive models under a sparsity assumption (p ≫ n paradigm). A PAC-Bayesian strategy is investigated, delivering oracle inequalities in probability. The implementation is performed through recent outcomes in high-dimensional MCMC algorithms, and the performance of our method is assessed on simulated data.

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CITATION STYLE

APA

Guedj, B., & Alquier, P. (2013). PAC-Bayesian estimation and prediction in sparse additive models. Electronic Journal of Statistics, 7(1), 264–291. https://doi.org/10.1214/13-EJS771

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