Variable selection with Hamming loss

Résumé

We derive non-asymptotic bounds for the minimax risk of variable selection under expected Hamming loss in the Gaussian mean model in Rd for classes of s-sparse vectors separated from 0 by a constant a > 0. In some cases, we get exact expressions for the nonasymptotic minimax risk as a function of d, s, a and find explicitly the minimax selectors. Analogous results are obtained for the probability of wrong recovery of the sparsity pattern. As corollaries, we derive necessary and sufficient conditions for such asymptotic properties as almost full recovery and exact recovery. Moreover, we propose data-driven selectors that provide almost full and exact recovery adaptive to the parameters of the classes.