Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions

Arnak S. Dalalyan

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arXiv · 2212.12950

Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions

Arnak S. Dalalyan

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Abstract

In this note, we consider the problem of aggregation of estimators in order to denoise a signal. The main contribution is a short proof of the fact that the exponentially weighted aggregate satisfies a sharp oracle inequality. While this result was already known for a wide class of symmetric noise distributions, the extension to asymmetric distributions presented in this note is new.

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Arnak S. Dalalyan. 2022-12-25. Simple proof of the risk bound for denoising by exponential weights for asymmetric noise distributions. https://arxiv.org/abs/2212.12950

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