Risk minimization by median-of-means tournaments
type: Item
instance of: scholarly article
title: Risk minimization by median-of-means tournaments
zbMATH Open document ID: 1436.62312
DOI: 10.4171/JEMS/937
author: Gábor Lugosi
author: Shahar Mendelson
published in: Journal of the European Mathematical Society (JEMS)
publication date: 2020-02-26T00:00:00Z
full work available at URL: https://arxiv.org/abs/1608.00757
review text: This paper develops an approach for squared error minimization based on a median of means estimator and pairwise comparisons of candidate functions. Optimality in terms of accuracy and confidence is discussed in different scenarios, determined in terms of classes of estimation functions and hypotheses on the tails of the distributions. Comparisons with the approach based on empirical risk minimization are performed. Examples of application to linear regression are presented.
reviewed by: Annibal Parracho Sant'Anna
Mathematics Subject Classification ID: 62J02
Mathematics Subject Classification ID: 62G08
Mathematics Subject Classification ID: 60G25
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62J15
Mathematics Subject Classification ID: 62G32
zbMATH DE Number: 7174690
zbMATH Keywords: median of means estimator
zbMATH Keywords: heavy-tailed distributions
zbMATH Keywords: empirical risk minimization
MaRDI profile type: MaRDI publication profile
arXiv ID: 1608.00757
OpenAlex ID: W2995540461
description: scientific article