Aggregation via empirical risk minimization
نویسندگان
چکیده
منابع مشابه
Aggregation via Empirical Risk Minimization
Given a finite set F of estimators, the problem of aggregation is to construct a new estimator whose risk is as close as possible to the risk of the best estimator in F . It was conjectured that empirical minimization performed in the convex hull of F is an optimal aggregation method, but we show that this conjecture is false. Despite that, we prove that empirical minimization in the convex hul...
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Abstract Given a finite set F of estimators, the problem of aggregation is to construct a new estimator that has a risk as close as possible to the risk of the best estimator in F . It was conjectured that empirical minimization performed in the convex hull of F is an optimal aggregation method, but we show that this conjecture is false. Despite that, we prove that empirical minimization in the...
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2008
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s00440-008-0180-8