Empirical Entropy, Minimax Regret and Minimax Risk


We consider the random design regression with square loss. We propose a method that aggregates empirical minimizers (ERM) over appropriately chosen random subsets and reduces to ERM in the extreme case, and we establish exact oracle inequalities for its risk. We show that, under the −p growth of the empirical -entropy, the excess risk of the proposed method… (More)
DOI: 10.3150/14-BEJ679


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@article{Rakhlin2013EmpiricalEM, title={Empirical Entropy, Minimax Regret and Minimax Risk}, author={Alexander Rakhlin and Karthik Sridharan and Alexandre B. Tsybakov}, journal={CoRR}, year={2013}, volume={abs/1308.1147} }