Abstract Details
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Activity Number:
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361
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Type:
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Contributed
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Date/Time:
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Tuesday, August 6, 2013 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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| Abstract - #308238 |
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Title:
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Adaptive Threshold Estimation by FDR
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Author(s):
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Wenhua Jiang*+ and Cun-Hui Zhang
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Companies:
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Soochow University and Rutgers University
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Keywords:
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threshold estimation ;
FDR ;
adaptive minimaxity ;
soft threshold ;
compound estimation
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Abstract:
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We consider the problem of estimating a vector with iid normal errors under the squared loss. The main result is that the soft-threshold estimator with an FDR threshold level attains the minimum loss among all soft threshold estimators with a small regret for a wide class of vectors, including vectors with an l_p norm of the order O(log log log n).
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Authors who are presenting talks have a * after their name.
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