As mentioned in Sylvain’s long and thorough study, I worked with Pascal Massart on the subject of calibration of the penalty terms for model selection but that was actually many years ago. Since then I worked on a somewhat different subject and forgot a large part of this old work. Reading Sylvain’s paper reminded me of a few things and I also learned much from it in particular that a lot of progress has been made on the subject. Although I have been interested by another (but as we shall see not so different) type of problem, I occasionally thought about a particular case of this old stuff, namely complete variable selection. Let me first describe the mathematical framework that I was interested in. One observes n real random variables Y1, . . . ,Yn with the following structure:
分享
引用
