Open AccessMathematicsComputer Science

A. Barron, L. Birgé, P. Massart

1999.2.28PROBABILITY THEORY AND RELATED FIELDS

DOI: 10.1007/s004400050210

tlooto Summary

It is shown that the quadratic risk of the minimum penalized empirical contrast estimator is bounded by an index of the accuracy of the sieve, which quantifies the trade-off among the candidate models between the approximation error and parameter dimension relative to sample size.

Abstract

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Citation format

BARRON, A.; BIRGÉ, L.; MASSART, P. Risk bounds for model selection via penalization. PROBABILITY THEORY AND RELATED FIELDS, 1999, 113: 301–413.