A note on the prediction error of principal component regression

Martin Wahl

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arXiv · 1811.02998

A note on the prediction error of principal component regression

Martin Wahl

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Abstract

We analyse the prediction error of principal component regression (PCR) and prove non-asymptotic upper bounds for the corresponding squared risk. Under mild assumptions, we show that PCR performs as well as the oracle method obtained by replacing empirical principal components by their population counterparts. Our approach relies on upper bounds for the excess risk of principal component analysis.

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Martin Wahl. 2019-04-16. A note on the prediction error of principal component regression. https://arxiv.org/abs/1811.02998

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