Finite sample performance of least squares estimation in sub-Gaussian noise

Abstract

In this paper we analyze the finite sample performance of the least squares estimator. In contrast to standard performance analysis which uses bounds on the mean square error together with asymptotic normality, our bounds are based on large deviation and concentration of measure results. This allows for accurate bounds on the tail of the estimator. We show… (More)
DOI: 10.1109/SSP.2016.7551710

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