Random rates in anisotropic regression (with a discussion and a rejoinder by the authors)
Random rates in anisotropic regression (with a discussion and a rejoinder by the authors)
In the context of minimax theory, we propose a new kind of risk, normalized by a random variable, measurable with respect to the data. We present a notion of optimality and a method to construct optimal procedures accordingly. We apply this general setup to the problem of selecting significant variables …