Exponential weighting and oracle inequalities for projection estimates

DOI10.1134/S0032946012030076MaRDI QIDQ1928229zbMATH OpenFDO

Authors Yu. Golubev

Publication date 2 January 2013

Published in Problems of Information Transmission (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.4285

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We consider the problem of recovering an unknown vector from noisy data with the help of projection estimates. The goal is to find a convex combination of these estimates with the minimal risk. We study an aggregation method based on the so-called exponential weighting and provide a new upper bound for the mean square risk of this method.

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Cites work

• Estimation of the mean of a multivariate normal distribution
• Information Theory and Mixing Least-Squares Regressions
• On a method of empirical risk minimization
• Ordered linear smoothers
• Statistical learning theory and stochastic optimization. Ecole d'Eté de Probabilitiés de Saint-Flour XXXI -- 2001.

Cited in

(6)

• On a method of empirical risk minimization
• Optimal exponents in weighted estimates without examples
• Ordered smoothers with exponential weighting
• Adaptivity and oracle inequalities in linear statistical inverse problems: a (numerical) survey
• Concentration inequalities for the exponential weighting method
• Aggregation by Exponential Weighting and Sharp Oracle Inequalities

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