PAC-Bayesian Estimation and Prediction in Sparse Additive Models

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Authors Benjamin Guedj, Pierre Alquier
Journal/Conference Name Electronic Journal of Statistics
Paper Category
Paper Abstract The present paper is about estimation and prediction in high-dimensional additive models under a sparsity assumption ($p\gg n$ 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.
Date of publication 2013
Code Programming Language R

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