High-dimensional Gaussian model selection on a Gaussian design

Abstract

We consider the problem of estimating the conditional mean of a real Gaussian variable Y = ∑pi=1 θiX i + ε where the vector of the covariates (Xi) 1≤i≤p follows a joint Gaussian distribution. This issue often occurs when one aims at estimating the graph or the distribution of a Gaussian graphical model. We introduce a general model selection procedure which is based on the minimization of a penalized least squares type criterion. It handles a variety of problems such as ordered and complete variable selection, allows to incorporate some prior knowledge on the model and applies when the number of covariates p is larger than the number of observations n. Moreover, it is shown to achieve a non-asymptotic oracle inequality independently of the correlation structure of the covariates. We also exhibit various minimax rates of estimation in the considered framework and hence derive adaptivity properties of our procedure. © Association des Publications de l'Institut Henri Poincaré, 2010.