2006
DOI: 10.1214/009053606000000074
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Adapting to unknown sparsity by controlling the false discovery rate

Abstract: We attempt to recover an n-dimensional vector observed in white noise, where n is large and the vector is known to be sparse, but the degree of sparsity is unknown. We consider three different ways of defining sparsity of a vector: using the fraction of nonzero terms; imposing power-law decay bounds on the ordered entries; and controlling the ℓ p norm for p small. We obtain a procedure which is asymptotically minimax for ℓ r loss, simultaneously throughout a range of such sparsity classes.The optimal procedure… Show more

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Cited by 359 publications
(487 citation statements)
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“…To compare models with such a wide range of variables to include, we opted to use an adaptive model selection criterion controlling the FDR [13,14] developed for this purpose. The multilocus models used during backward elimination were implemented in a standard linear model framework, starting with a full model including the fixed effects of sex and the additive effects of the 99 selected markers from the independently segregating regions.…”
Section: Selection Of Markers To Represent the Independently Segregatmentioning
confidence: 99%
“…To compare models with such a wide range of variables to include, we opted to use an adaptive model selection criterion controlling the FDR [13,14] developed for this purpose. The multilocus models used during backward elimination were implemented in a standard linear model framework, starting with a full model including the fixed effects of sex and the additive effects of the 99 selected markers from the independently segregating regions.…”
Section: Selection Of Markers To Represent the Independently Segregatmentioning
confidence: 99%
“…Here we wish to mention also the control of error rate thresholding developed by Abramovich and Benjamini [1], Benjamini and Liu [7], and Abramovich et al [2].…”
Section: Multipoint Estimationmentioning
confidence: 99%
“…where the weights are deÞned as in (2). Recall thatĈ 1 in (35) is an estimate of the derivative ∂y(x 0 )/∂x.…”
Section: Nonlocal Pointwise Higher-order Modelsmentioning
confidence: 99%
“…These include compressive sensing, [3], [4], adaptive testing [5], [6], and adaptive sampling [7], [8]. The contribution of this paper is most closely related to the adaptive sampling problem.…”
Section: Introductionmentioning
confidence: 99%