Optimal prediction for linear regression with infinitely many parameters

JOURNAL OF MULTIVARIATE ANALYSIS

卷:84

Article

Goldenshluger, A ; Tsybakov, A

关键词: linear regression with infinitely many parameters;    optimal prediction;    exact asymptotics of minimax risk;    Pinsker filter;   

DOI  :  10.1016/S0047-259X(02)00006-4

来源: Elsevier

【 摘 要 】

The problem of optimal prediction in the stochastic linear regression model with infinitely many parameters is considered. We suggest a prediction method that outperforms asymptotically the ordinary least squares predictor. Moreover, if the random errors are Gaussian, the method is asymptotically minimax over ellipsoids in l(2). The method is based on a regularized least squares estimator with weights of the Pinsker filter. We also consider the case of dynamic linear regression, which is important in the context of transfer function modeling. (C) 2003 Elsevier Science (USA). All rights reserved.

【 授权许可】

Free