Section: Scientific Foundations
A non asymptotic view for model selection
An important purpose of select is to build and analyze penalized log-likelihood model selection criteria that are efficient when the number of models in competition grows to infinity with the number of observations. Concentration inequalities are a key tool for that purpose and lead to data-driven penalty choice strategies. A major issue of select consists of deepening the analysis of data-driven penalties both from the theoretical and the practical side. There is no universal way of calibrating penalties but there are several different general ideas that we want to develop, including heuristics derived from the Gaussian theory, special strategies for variable selection and using resampling methods.