Granger Centre Seminar: Christian Brownlees (UPF)

Performance of empirical risk minimization for linear regression with dependent data (with Guðmundur Stefán Guðmundsson)

Abstract: This paper establishes oracle inequalities for the prediction risk of the empirical risk minimizer 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 assumed to be unknown. The main results of this paper indicate that the empirical risk minimizer achieves the optimal performance (up to a logarithmic factor) in a dependent data setting.