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Concentration behavior of the penalized least squares estimator

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  • Alan Muro
  • Sara van de Geer

Abstract

Consider the standard nonparametric regression model and take as estimator the penalized least squares function. In this article, we study the trade†off between closeness to the true function and complexity penalization of the estimator, where complexity is described by a seminorm on a class of functions. First, we present an exponential concentration inequality revealing the concentration behavior of the trade†off of the penalized least squares estimator around a nonrandom quantity, where such quantity depends on the problem under consideration. Then, under some conditions and for the proper choice of the tuning parameter, we obtain bounds for this nonrandom quantity. We illustrate our results with some examples that include the smoothing splines estimator.

Suggested Citation

  • Alan Muro & Sara van de Geer, 2018. "Concentration behavior of the penalized least squares estimator," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(2), pages 109-125, May.
    • Handle: RePEc:bla:stanee:v:72:y:2018:i:2:p:109-125
    DOI: 10.1111/stan.12123
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