Concentration inequalities for the exponential weighting method

被引：2
|
作者：
Golubev Y. [1 ,2 ]
Ostrovski D. [3 ]
机构：
[1] Aix Marseille Univ., Marseille
[2] Inst. for Inform. Transmission Problems, Moscow
[3] Inst. of Physics and Technology, Moscow
来源：
Mathematical Methods of Statistics | 2014年 / 23卷 / 1期
关键词：
concentration inequality; exponential weighting; oracle inequality; ordered smoothers; unbiased risk estimation;
D O I：
10.3103/S1066530714010025
中图分类号：
学科分类号：
摘要：
The paper is concerned with recovering an unknown vector from noisy data with the help of a family of ordered smoothers [11]. The estimators within this family are aggregated based on the exponential weighting method and the performance of the aggregated estimate is measured by the excess risk controlling deviation of the square losses from the oracle risk. Based on natural statistical properties of ordered smoothers, we propose a novel method for obtaining concentration inequalities for the exponential weighting method. © 2014 Allerton Press, Inc.
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页码：20 / 37
页数：17
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