Performance of empirical risk minimization for linear regression with dependent data
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- dc.contributor.author Brownlees, Christian, 1979-
- dc.contributor.author Gudmundsson, Gudmundur Stefan
- dc.date.accessioned 2024-01-16T07:06:07Z
- dc.date.available 2024-01-16T07:06:07Z
- dc.date.issued 2023
- dc.description Data de publicació electrònica: 10 de novembre de 2023
- dc.description.abstract This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be dependent and heavy-tailed. The analysis covers both the cases of identically and heterogeneously distributed observations. Our analysis is nonparametric in the sense that the relationship between the regressand and the regressors is not specified. The main results of this paper show that the empirical risk minimizer achieves the optimal performance (up to a logarithmic factor) in a dependent data setting.
- dc.format.mimetype application/pdf
- dc.identifier.citation Brownlees C, Guđmundsson GS. Performance of empirical risk minimization for linear regression with dependent data. Econ Theory. 2023. 30 p. DOI: 10.1017/S0266466623000348
- dc.identifier.doi http://dx.doi.org/10.1017/S0266466623000348
- dc.identifier.issn 0266-4666
- dc.identifier.uri http://hdl.handle.net/10230/58720
- dc.language.iso eng
- dc.publisher Cambridge University Press
- dc.relation.projectID info:eu-repo/grantAgreement/ES/2PE/CEX2019-000915-S
- dc.rights © The Author(s), 2023. Published by Cambridge University Press. This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.title Performance of empirical risk minimization for linear regression with dependent data
- dc.type info:eu-repo/semantics/article
- dc.type.version info:eu-repo/semantics/publishedVersion