Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields.

Matthieu Lerasle (1) , D.Y. Takahashi (2)

1 LJAD - Laboratoire Jean Alexandre Dieudonné
2 Ghazanfar's Lab

We study the problem of estimating the one-point specification probabilities in non-necessary finite discrete random fields from partially observed independent samples. Our procedures are based on model selection by minimization of a penalized empirical criterion. The selected estimators satisfy sharp oracle inequalities in $L_{2}$-risk. We also obtain theoretical results on the slope heuristic for this problem, justifying the slope algorithm to calibrate the leading constant in the penalty. The practical performances of our methods are investigated in two simulation studies. We illustrate the usefulness of our approach by applying the methods to a multi-unit neuronal data from a rat hippocampus.

Mots clés: Model Selection; penalization; slope heuristic; discrete random fields

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Matthieu Lerasle, D.Y. Takahashi. Sharp oracle inequalities and slope heuristic for specification probabilities estimation in discrete random fields.. Bernoulli, 2016, 22 (1), pp.325-344. ⟨10.3150/14-BEJ660⟩. ⟨hal-01059692⟩