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PAC-Bayesian aggregation of affine estimators

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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Preprints, Working Papers, ...
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Contributor : Erwan Le Pennec Connect in order to contact the contributor
Submitted on : Tuesday, January 30, 2018 - 8:43:33 PM
Last modification on : Thursday, February 3, 2022 - 11:17:18 AM
Long-term archiving on: : Friday, May 25, 2018 - 5:17:45 PM


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  • HAL Id : hal-01070805, version 3
  • ARXIV : 1410.0661


Lucie Montuelle, Erwan Le Pennec. PAC-Bayesian aggregation of affine estimators. 2018. ⟨hal-01070805v3⟩



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