PAC-Bayesian aggregation of affine estimators

Lucie Montuelle; Erwan Le Pennec

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arXiv · 1410.0661

PAC-Bayesian aggregation of affine estimators

Lucie Montuelle·Erwan Le Pennec

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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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Lucie Montuelle, Erwan Le Pennec. 2014-10-02. PAC-Bayesian aggregation of affine estimators. https://arxiv.org/abs/1410.0661

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