On concentration for (regularized) empirical risk minimization

DOI10.1007/S13171-017-0111-9zbMath1380.62085arXiv1512.00677OpenAlexW2963320582MaRDI QIDQ1688423

Martin J. Wainwright, Sara van de Geer

Publication date: 5 January 2018

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.00677

zbMATH Keywords

empirical processdensity estimationconcentrationempirical risk minimizationpenalized least squaresnormal sequence model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Limit theorems in probability theory (60F99)

Related Items (10)

On least squares estimation under heteroscedastic and heavy-tailed errors ⋮ Slope heuristics and V-Fold model selection in heteroscedastic regression using strongly localized bases ⋮ Discussion of ``On concentration for (regularized) empirical risk minimization by Sara van de Geer and Martin Wainwright ⋮ Concentration behavior of the penalized least squares estimator ⋮ Noisy linear inverse problems under convex constraints: exact risk asymptotics in high dimensions ⋮ High-dimensional CLT: improvements, non-uniform extensions and large deviations ⋮ Nonparametric shape-restricted regression ⋮ Sharp oracle inequalities for least squares estimators in shape restricted regression ⋮ On tight bounds for the Lasso ⋮ Set structured global empirical risk minimizers are rate optimal in general dimensions

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