arXiv subjects

Guðmundur Stefán Guðmundsson

Publications and source records attributed to Guðmundur Stefán Guðmundsson.

2 recordsLinked to original sources

arXiv2026

Performance of Empirical Risk Minimization For Principal Component Regression

This paper studies the predictive performance of empirical risk minimization for principal component regression. Our analysis accommodates the leading eigenvalues of the predictor covariance matrix growing either linearly or sublinearly with the number of predictors. Additionally, we allow for both light-tailed and heavy-tailed data. Our main result establishes that, under appropriate conditions, empirical risk minimization for principal component regression is consistent for prediction and achieves near-optimal performance.

econ.EM↗

arXiv2023

Performance of Empirical Risk Minimization for Linear Regression with Dependent Data

This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be dependent and heavy-tailed. The analysis covers both the cases of identically and heterogeneously distributed observations. Our analysis is nonparametric in the sense that the relationship between the regressand and the regressors is not specified. The main results of this paper show that the empirical risk minimizer achieves the optimal performance (up to a logarithmic factor) in a dependent data setting.

econ.EM↗