Robust linear least squares regression

DOI10.1214/11-AOS918zbMath1231.62126arXiv1010.0074OpenAlexW3102654945WikidataQ105584254 ScholiaQ105584254MaRDI QIDQ661182

Jean-Yves Audibert, Olivier Catoni

Publication date: 21 February 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0074

zbMATH Keywords

shrinkage statistical learning theory generalization error risk bounds randomized estimators Gibbs posterior distributions PAC-Bayesian theorems resistant estimators

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35) Minimax procedures in statistical decision theory (62C20)

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