Estimation of multiple mean vectors in high dimension - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2024

Estimation of multiple mean vectors in high dimension

Résumé

We endeavour to estimate numerous multi-dimensional means of various probability distributions on a common space based on independent samples. Our approach involves forming estimators through convex combinations of empirical means derived from these samples. We introduce two strategies to find appropriate data-dependent convex combination weights: a first one employing a testing procedure to identify neighbouring means with low variance, which results in a closed-form plug-in formula for the weights, and a second one determining weights via minimization of an upper confidence bound on the quadratic risk. Through theoretical analysis, we evaluate the improvement in quadratic risk offered by our methods compared to the empirical means. Our analysis focuses on a dimensional asymptotics perspective, showing that our methods asymptotically approach an oracle (minimax) improvement as the effective dimension of the data increases. We demonstrate the efficacy of our methods in estimating multiple kernel mean embeddings through experiments on both simulated and real-world datasets.
Fichier principal
Vignette du fichier
arxiv.pdf (1.03 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04515801 , version 1 (21-03-2024)

Identifiants

  • HAL Id : hal-04515801 , version 1

Citer

Gilles Blanchard, Jean-Baptiste Fermanian, Hannah Marienwald. Estimation of multiple mean vectors in high dimension. 2024. ⟨hal-04515801⟩
1 Consultations
3 Téléchargements

Partager

Gmail Facebook X LinkedIn More