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Conference papers

Agrégation PAC-bayésienne d'estimateurs par projection

Abstract : Aggregating estimators using exponential weights depending on their risk performs well in expectation, but sadly not in probability. A way to overcome this issue is considering exponential weights of a penalized risk. In this case, an oracle inequality can be obtained in probability, but is not sharp. Taking into account the estimated function's norm in the penalty offers a sharp inequality.
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Submitted on : Saturday, January 24, 2015 - 2:20:07 PM
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Lucie Montuelle, Erwan Le Pennec. Agrégation PAC-bayésienne d'estimateurs par projection. 46e Journées de Statistique, SFdS, Jun 2014, Rennes, France. ⟨hal-01097173⟩



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