Prediction when fitting simple models to high-dimensional data

Author(s)

Lukas Steinberger, Hannes Leeb

Abstract

We study linear subset regression in the context of a high-dimensional linear model. Consider y=ϑ+θ′z+ϵ with univariate response y and a d-vector of random regressors z, and a submodel where y is regressed on a set of p explanatory variables that are given by x=M′z, for some d×p matrix M. Here, “high-dimensional” means that the number d of available explanatory variables in the overall model is much larger than the number p of variables in the submodel. In this paper, we present Pinsker-type results for prediction of y given x. In particular, we show that the mean squared prediction error of the best linear predictor of y given x is close to the mean squared prediction error of the corresponding Bayes predictor E[y∥x], provided only that p/logd is small. We also show that the mean squared prediction error of the (feasible) least-squares predictor computed from n independent observations of (y,x) is close to that of the Bayes predictor, provided only that both p/logd and p/n are small. Our results hold uniformly in the regression parameters and over large collections of distributions for the design variables z.

Organisation(s)

Department of Statistics and Operations Research, Research Network Data Science

External organisation(s)

Albert-Ludwigs-Universität Freiburg

Journal

Annals of Statistics

Volume

47

Pages

1408-1442

No. of pages

35

ISSN

0090-5364

DOI

https://doi.org/10.1214/18-AOS1719

Publication date

06-2019

Peer reviewed

Yes

Austrian Fields of Science 2012

101029 Mathematical statistics

Keywords

ASJC Scopus subject areas

Statistics and Probability, Statistics, Probability and Uncertainty

Portal url

https://ucrisportal.univie.ac.at/en/publications/prediction-when-fitting-simple-models-to-highdimensional-data(7b9c8cd5-daa6-443a-8d56-b2a0756ad229).html