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
Type
Document de travail / Working paperDate
2013Titre de la collection
Université Paris-DauphineVille d’édition
Paris
Métadonnées
Afficher la notice complèteRésumé (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.Mots-clés
risk estimation; parameter selection; sparsity; hard thresholdingPublications associées
Affichage des éléments liés par titre et auteur.
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Deledalle, Charles-Alban; Peyré, Gabriel; Fadili, Jalal M. (2013) Communication / Conférence
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Fadili, Jalal; Peyré, Gabriel; Vaiter, Samuel; Deledalle, Charles-Alban (2014) Article accepté pour publication ou publié
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Deledalle, Charles-Alban; Vaiter, Samuel; Peyré, Gabriel; Fadili, Jalal; Dossal, Charles (2012) Communication / Conférence
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Deledalle, Charles-Alban; Vaiter, Samuel; Peyré, Gabriel; Fadili, Jalal; Dossal, Charles (2012) Communication / Conférence
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Dossal, Charles; Fadili, Jalal; Peyré, Gabriel; Vaiter, Samuel; Deledalle, Charles-Alban (2012) Communication / Conférence