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Unformatted text preview: pen( A λ ) = σ 2 tr( A 2 λ ) leads to optimal selection, but depends on unknown noise variance σ 2 Minimal penalty pen( A λ ) = C [2tr( A λ )-tr( A 2 λ )] leads to a sharp jump in tr A ˆ λ ( C ) around C = σ 2 Allows data-driven estimation of σ 2 and non-asymptotic oracle inequalities...
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- Fall '09
- Computer Science