PAC-Bayesian aggregation of affine estimators

DOI10.1007/978-3-319-96941-1_9MaRDI QIDQ2417440zbMATH OpenOpenAlexFDO

Authors L. Montuelle, E. Le Pennec

Publication date 12 June 2019

Full work available at URL https://arxiv.org/abs/1410.0661

zbMATH Keywords

oracle inequalityregression model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Order statistics; empirical distribution functions (62G30) General nonlinear regression (62J02)

Abstract: Aggregating estimators using exponential weights depending on their risk appears optimal in expectation but not in probability. We use here a slight overpenalization to obtain oracle inequality in probability for such an explicit aggregation procedure. We focus on the fixed design regression framework and the aggregation of affine estimators and obtain results for a large family of affine estimators under a non necessarily independent sub-Gaussian noise assumptions.

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(10)

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• PAC-Bayesian risk bounds for group-analysis sparse regression by exponential weighting
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• A PAC-Bayes Bound for Tailored Density Estimation
• scientific article; zbMATH DE number 7625186 (Why is no real title available?)
• Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions

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