High dimensional regression and matrix estimation without tuning parameters
classification
🧮 math.ST
math.PRstat.TH
keywords
estimationdimensionalhighmatrixparametersregressiontheorytuning
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A general theory for Gaussian mean estimation that automatically adapts to unknown sparsity under arbitrary norms is proposed. The theory is applied to produce adaptively minimax rate-optimal estimators in high dimensional regression and matrix estimation that involve no tuning parameters.
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