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math.ST2021
Online nonparametric regression with Sobolev kernels
Oleksandr Zadorozhnyi, Pierre Gaillard, Sebastien Gerschinovitz +1
In this work we investigate the variation of the online kernelized ridge regression algorithm in the setting of dimensional adversarial nonparametric regression. We derive the…
math.ST2019
Affine Invariant Covariance Estimation for Heavy-Tailed Distributions
Dmitrii Ostrovskii, Alessandro Rudi
In this work we provide an estimator for the covariance matrix of a heavy-tailed multivariate distributionWe prove that the proposed estimator admits an \tex…