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Consider an inverse problem with random noise where we want to estimate a function f . Moreover, suppose that the operator A that we need to invert is not completely known: we know its eigenfunctions and observe its singular values but with some noise. To construct our estimator θ ⋆ , we minimize a modification of an unbiased risk estimator. We obtain some non-asymptotic exact oracle inequalities. Considering smooth functions in some standard classes of functions, we prove that θ ⋆ is asymptotically minimax among a given class of estimators.
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Cavalier et al. (2005) studied this question.
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