Concentration inequalities for the exponential weighting method

DOI10.3103/S1066530714010025MaRDI QIDQ461822zbMATH OpenOpenAlexFDO

Authors Yu. Golubev, D. Ostrovski

Publication date 15 October 2014

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/s1066530714010025

zbMATH Keywords

concentration inequalityoracle inequalityexponential weightingordered smoothersunbiased risk estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Inequalities; stochastic orderings (60E15) Bayesian problems; characterization of Bayes procedures (62C10) Minimax procedures in statistical decision theory (62C20)

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Cites work

• scientific article; zbMATH DE number 1522808 (Why is no real title available?)
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• Linear and convex aggregation of density estimators
• On universal oracle inequalities related to high-dimensional linear models
• Ordered linear smoothers
• Ordered smoothers with exponential weighting
• Oscillation matrices with spline smoothing
• PAC-Bayesian bounds for sparse regression estimation with exponential weights
• Sharp oracle inequalities for aggregation of affine estimators
• Simultaneous adaptation to the margin and to complexity in classification
• Some Comments on C P
• Sparse estimation by exponential weighting
• Statistical learning theory and stochastic optimization. Ecole d'Eté de Probabilitiés de Saint-Flour XXXI -- 2001.

Cited in

(10)

• On risk concentration for convex combinations of linear estimators
• Exponential weighting and oracle inequalities for projection estimates
• Exponential weight algorithm in continuous time
• Tikhonov-Phillips regularizations in linear models with blurred design
• Aggregation by Exponential Weighting and Sharp Oracle Inequalities
• Optimal exponents in weighted estimates without examples
• Indefinite integrals of generalized intuitionistic multiplicative functions
• An oracle inequality for quasi-Bayesian nonnegative matrix factorization
• On the exponentially weighted aggregate with the Laplace prior
• Ordered smoothers with exponential weighting

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