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On the optimality of the aggregate with exponential weights for low temperatures
aggregation empirical process Gaussian approximation Gibbs estimators
2013/4/28
Given a finite class of functions F, the problem of aggregation is to construct a procedure with a risk as close as possible to the risk of the best element in the class. A classical procedure (PAC-Ba...
Variable Selection with Exponential Weights and $l_0$-Penalization
Variable selection model selection sparse linear model xponential weights Gibbs sampler identifiability condition.
2012/9/17
In the context of a linear model with a sparse coefficient vector, exponential weights methods have been shown to be achieve oracle inequalities for prediction. We show that such methods also succeed ...