Brownlees, Christian, 1979-Gudmundsson, Gudmundur Stefan2024-01-162024-01-162023Brownlees C, Guđmundsson GS. Performance of empirical risk minimization for linear regression with dependent data. Econ Theory. 2023. 30 p. DOI: 10.1017/S02664666230003480266-4666http://hdl.handle.net/10230/58720Data de publicació electrònica: 10 de novembre de 2023This 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.application/pdfeng© 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.info:eu-repo/semantics/articlehttp://dx.doi.org/10.1017/S0266466623000348info:eu-repo/semantics/openAccess