Aggregation and minimax approach in high-dimensional estimation

COUV_CAHIER_EGND_A29by Alexandre B. Tsybakov

Given a collection of estimators, the problem of linear, convex or model selection type aggregation consists in constructing a new estimator, called the aggregate, which is nearly as good as the best among them (or nearly as good as their best linear or convex combination), with respect to a given risk criterion. When the underlying model is sparse, which means that it is well approximated by a linear combination of a small number of functions in the dictionary, the aggregation techniques turn out to be very useful in taking advantage of sparsity. On the other hand, aggregation is a general technique of producing adaptive nonparametric estimators, which is more powerful than the classical methods since it allows one to combine estimators of different nature. Aggregates are usually constructed by mixing the initial estimators or functions of the dictionary with data-dependent weights that can be computed is several possible ways. Important example is given by aggregates with exponential weights. They satisfy sharp oracle inequalities that allow one to treat in a unified way three different problems: Adaptive nonparametric estimation, aggregation and sparse estimation.

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