3.1 Estimator selection with unknown variance (Christophe Giraud)

We consider the problem of Gaussian regression (possibly in a high- dimensional setting) when the noise variance is unknown. We propose a procedure which selects within any collection of estimators, an estimator hatf that nearly achieves the best bias/variance trade off. This selection procedure can be used as an alternative to Cross Validation to : - tune the parameters of a family of estimators - compare different families of estimation procedure - perform variable selection.