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—Probability models are estimated by use of penalized log-likelihood criteria related to AIC and MDL. The accuracies of the density estimators are shown to be related to the trade-off between three terms: the accuracy of approximation, the model dimension, and the descriptive complexity of the model classes. The asymptotic risk is determined under(More)
General results on adaptive density estimation are obtained with respect to any countable collection of estimation strategies under Kullback-Leibler and square L 2 losses. It is shown that without knowing which strategy works best for the underlying density, a single strategy can be constructed by mixing the proposed ones to be adaptive in terms of(More)
We study some methods of combining procedures for forecasting a continuous random variable. Statistical risk bounds under the square error loss are obtained under mild distributional assumptions on the future given the current outside information and the past observations. The risk bounds show that the combined forecast automatically achieves the best(More)
It is well known that AIC and BIC have different properties in model selection. BIC is consistent in the sense that if the true model is among the candidates, the probability of selecting the true model approaches 1. On the other hand, AIC is minimax-rate optimal for both parametric and nonparametric cases for estimating the regression function. There are(More)
We study a multi-armed bandit problem in a setting where covariates are available. We take a nonparametric approach to estimate the functional relationship between the response (reward) and the covariates. The estimated relationships and appropriate randomization are used to select a good arm to play for a greater expected reward. Randomization helps(More)
Various discriminant methods have been applied for classification of tumors based on gene expression profiles, among which the nearest neighbor (NN) method has been reported to perform relatively well. Usually cross-validation (CV) is used to select the neighbor size as well as the number of variables for the NN method. However, CV can perform poorly when(More)
Adaptation over diierent procedures is of practical importance. Diierent procedures perform well under diierent conditions. In many practical situations, it is rather hard to assess which conditions are (approximately) satissed so as to identify the best procedure for the data at hand. Thus automatic adaptation over various scenarios is desirable. A(More)