Sign Betting for Misspecified Regression: Variance Adaptivity and Optimal Approximation

Yinan Li, Han Han, Kwang-Sung Jun

We study bounded regression under model misspecification, evaluating a function $f$ by its $L_1(P_X)$ distance to the conditional mean $\eta (x)=\mathbb{E}[Y\mid X=x]$, rather than the…