Oracle inequalities for cross-validation type procedures

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Abstract

We prove oracle inequalities for three different types of adaptation procedures inspired by cross-validation and aggregation. These procedures are then applied to the construction of Lasso estimators and aggregation with exponential weights with data-driven regularization and temperature parameters, respectively. We also prove oracle inequalities for the cross-validation procedure itself under some convexity assumptions.

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APA

Lecué, G., & Mitchell, C. (2012). Oracle inequalities for cross-validation type procedures. Electronic Journal of Statistics, 6, 1803–1837. https://doi.org/10.1214/12-EJS730

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