PAC-Bayesian bounds for the Gram matrix and least squares regression with a random design

Olivier Catoni

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arXiv · 1603.05229

PAC-Bayesian bounds for the Gram matrix and least squares regression with a random design

Olivier Catoni

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Abstract

The topics dicussed in this paper take their origin inthe estimation of the Gram matrix of a random vector from a sample made of n independent copies. They comprise the estimation of the covariance matrix and the study of least squares regression with a random design. We propose four types of results, based on non-asymptotic PAC-Bayesian generalization bounds: a new robust estimator of the Gram matrix and of the covariance matrix, new results on the empirical Gram matrix, new robust least squares estimators and new results on the ordinary least squares estimator, including its exact rate of convergence under polynomial moment assumptions.

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Olivier Catoni. 2016-03-16. PAC-Bayesian bounds for the Gram matrix and least squares regression with a random design. https://arxiv.org/abs/1603.05229

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