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math.ST2013★ 59 cited
Empirical entropy, minimax regret and minimax risk
Alexander Rakhlin, Karthik Sridharan, Alexandre B. Tsybakov
We consider the random design regression model with square loss. We propose a method that aggregates empirical minimizers (ERM) over appropriately chosen random subsets and reduces…
math.ST2013★ 3 cited
Pivotal estimation in high-dimensional regression via linear programming
Eric Gautier, Alexandre Tsybakov
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not req…