A universal procedure for aggregating estimators
| dc.creator | Goldenshluger, Alexander | |
| dc.date | 2007-04-19 | |
| dc.date | 2009-03-04 | |
| dc.date.accessioned | 2026-07-07T12:48:17Z | |
| dc.date.available | 2026-07-07T12:48:17Z | |
| dc.description | In this paper we study the aggregation problem that can be formulated as follows. Assume that we have a family of estimators $\mathcal{F}$ built on the basis of available observations. The goal is to construct a new estimator whose risk is as close as possible to that of the best estimator in the family. We propose a general aggregation scheme that is universal in the following sense: it applies for families of arbitrary estimators and a wide variety of models and global risk measures. The procedure is based on comparison of empirical estimates of certain linear functionals with estimates induced by the family $\mathcal{F}$. We derive oracle inequalities and show that they are unimprovable in some sense. Numerical results demonstrate good practical behavior of the procedure. | |
| dc.description | Published in at http://dx.doi.org/10.1214/00-AOS576 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0704.2500 | |
| dc.identifier | http://arxiv.org/abs/0704.2500 | |
| dc.identifier | Annals of Statistics 2009, Vol. 37, No. 1, 542-568 | |
| dc.identifier | doi:10.1214/00-AOS576 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/222001 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62G08 (Primary) 62G05, 62G20 (Secondary) | |
| dc.title | A universal procedure for aggregating estimators | |
| dc.type | text |