Stein COnsistent Risk Estimator (SCORE) for hard thresholding
Fadili, Jalal; Peyré, Gabriel; Deledalle, Charles-Alban (2013), Stein COnsistent Risk Estimator (SCORE) for hard thresholding. https://basepub.dauphine.fr/handle/123456789/10848
TypeDocument de travail / Working paper
Series titleUniversité Paris-Dauphine
MetadataShow full item record
Abstract (EN)In this work, we construct a risk estimator for hard thresholding which can be used as a basis to solve the difficult task of automatically selecting the threshold. As hard thresholding is not even continuous, Stein's lemma cannot be used to get an unbiased estimator of degrees of freedom, hence of the risk. We prove that under a mild condition, our estimator of the degrees of freedom, although biased, is consistent. Numerical evidence shows that our estimator outperforms another biased risk estimator.
Subjects / Keywordsrisk estimation; parameter selection; sparsity; hard thresholding
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Fadili, Jalal; Peyré, Gabriel; Vaiter, Samuel; Deledalle, Charles-Alban (2014) Article accepté pour publication ou publié