- Volume 25, Number 3 (2019), 2075-2106.
Regularization, sparse recovery, and median-of-means tournaments
We introduce a regularized risk minimization procedure for regression function estimation. The procedure is based on median-of-means tournaments, introduced by the authors in Lugosi and Mendelson (2018) and achieves near optimal accuracy and confidence under general conditions, including heavy-tailed predictor and response variables. It outperforms standard regularized empirical risk minimization procedures such as LASSO or SLOPE in heavy-tailed problems.
Bernoulli, Volume 25, Number 3 (2019), 2075-2106.
Received: November 2017
Revised: April 2018
First available in Project Euclid: 12 June 2019
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Lugosi, Gábor; Mendelson, Shahar. Regularization, sparse recovery, and median-of-means tournaments. Bernoulli 25 (2019), no. 3, 2075--2106. doi:10.3150/18-BEJ1046. https://projecteuclid.org/euclid.bj/1560326438