Learning from MOM's principles: Le Cam's approach (Q2010482)

The authors study estimation of \(f^*\) in \[ f^* \in \arg\min_{f \in F} P \left(Y-f\left(X\right)\right)^2 \] where \(F\) is a convex class of functions \(\mathcal X \to \mathbb R\) and \(\left(X_i, Y_i\right)_{i=1,\dots,N}\) are observed random variables with values in \(\mathcal X \times \mathbb R\) with a measurable space \(\mathcal X\). The focus is on estimators arising from comparisons between functions \(f\) and \(g\) from \(F\) based on regularized median-of-means tests. The authors prove rates of convergence, which are minimax in the sparse setting, and furthermore allow for outliers in the data.