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pro vyhledávání: '"Guðmundsson, Guðmundur Stefán"'
This paper establishes bounds on the predictive performance of empirical risk minimization for principal component regression. Our analysis is nonparametric, in the sense that the relation between the prediction target and the predictors is not speci
Externí odkaz:
http://arxiv.org/abs/2409.03606
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 ident
Externí odkaz:
http://arxiv.org/abs/2104.12127
Publikováno v:
In Journal of Econometrics November 2021 225(1):2-26
Autor:
Brownlees, Christian1,2, Guðmundsson, Guðmundur Stefán3 gsgudmundsson@econ.au.dk, Lugosi, Gábor1,2,4
Publikováno v:
Journal of Business & Economic Statistics. Jan2022, Vol. 40 Issue 1, p216-226. 11p.
Publikováno v:
Brownlees, C & Guðmundsson, G S 2022 ' 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 ident
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::25cf3acc5908cd8565a6819efe3e1b86
https://pure.au.dk/ws/files/313549618/2104.12127v4.pdf
https://pure.au.dk/ws/files/313549618/2104.12127v4.pdf