Open AccessMathematicsComputer Science
A. Barron, L. Birgé, P. Massart
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.
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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.