Asymptotic minimaxity of the penalized model-selection procedure
Let model selection mean adaptive selection of nonzero means, and let the underlying estimand be , belonging to one of the parameter spaces and considered under one of the losses covered by Theorem. Let the procedure referred to as
be the corresponding $2k\log(n/k)$ penalized procedure. **Asymptotic minimaxity conjecture.** The procedureis asymptotically minimax simultaneously over the full range of parameter spaces and losses covered by that theorem. This conjecture concerns whether the variable-complexity penalty suggested by the paper achieves optimal risk across all of the theorem's model-selection settings; the supplied text gives no resolution.
References
Primary source
Felix Abramovich, Yoav Benjamini, David L. Donoho and Iain M. Johnstone, “Adapting to Unknown Sparsity by controlling the False Discovery Rate”, arXiv:math/0505374 (2005).
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