Abstract
In the present paper, we study the problem of aggregation under the squared loss in the model of regression with deterministic design. We obtain sharp oracle inequalities for convex aggregates defined via exponential weights, under general assumptions on the distribution of errors and on the functions to aggregate. We show how these results can be applied to derive a sparsity oracle inequality. © Springer-Verlag Berlin Heidelberg 2007.
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CITATION STYLE
Dalalyan, A. S., & Tsybakov, A. B. (2007). Aggregation by exponential weighting and sharp oracle inequalities. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 4539 LNAI, pp. 97–111). Springer Verlag. https://doi.org/10.1007/978-3-540-72927-3_9
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