Oracle inequalities for cross-validation type procedures

  title={Oracle inequalities for cross-validation type procedures},
  author={Guillaume Lecu{\'e}},
Abstract We prove oracle inequalities for three different type of adaptation procedures inspired by cross-validation and aggregation. These procedures are then applied to the construction of Lasso estimators and aggregation with exponential weights with data-driven regularization and temperature parameters, respectively. We also prove oracle inequalities… CONTINUE READING