PAC-Bayesian Estimation and Prediction in Sparse Additive Models
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| Authors | Benjamin Guedj, Pierre Alquier |
| Journal/Conference Name | Electronic Journal of Statistics |
| Paper Category | Other |
| Paper Abstract | The present paper is about estimation and prediction in high-dimensional additive models under a sparsity assumption ($p\gg n$ paradigm). A PAC-Bayesian strategy is investigated, delivering oracle inequalities in probability. The implementation is performed through recent outcomes in high-dimensional MCMC algorithms, and the performance of our method is assessed on simulated data. |
| Date of publication | 2013 |
| Code Programming Language | R |
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