Adaptive Estimation from Indirect Observations
- Series
- Time
- Thursday, February 27, 2025 - 15:30 for 1 hour (actually 50 minutes)
- Location
- Skiles 006
- Speaker
- Anatoli Juditsky – Grenoble Alpes University – anatoli.juditsky@univ-grenoble-alpes.fr
We discuss an approach to estimate aggregation and adaptive estimation based upon (nearly optimal) testing of convex hypotheses. The proposed adaptive routines generalize upon now-classical Goldenshluger-Lepski adaptation schemes, and, in the situation where the observations stem from simple observation schemes (i.e., have Gaussian, discrete and Poisson distribution) and where the set of unknown signals is a finite union of convex and compact sets, attain nearly optimal performance. As an illustration, we consider application of the proposed estimates to the problem of recovery of unknown signal known to belong to a union of ellitopes in Gaussian observation scheme. The corresponding numerical routines can be implemented efficiently when the number of sets in the union is “not very large.” We illustrate “practical performance” of the method in an example of estimation in the single-index model.