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

regression modeloracle inequality

Mathematics Subject Classification ID

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

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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Cited in

(10)

• Aggregation of affine estimators
• Sharp oracle inequalities for aggregation of affine estimators
• A PAC-Bayes Bound for Tailored Density Estimation
• Fully Bayesian aggregation
• Optimal bounds for aggregation of affine estimators
• Aggregation by exponential weighting, sharp PAC-Bayesian bounds and sparsity
• Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions
• Aggregated estimators and empirical complexity for least square regression
• scientific article; zbMATH DE number 7625186 (Why is no real title available?)
• PAC-Bayesian risk bounds for group-analysis sparse regression by exponential weighting

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