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math.ST2019★ 1 cited
An improper estimator with optimal excess risk in misspecified density estimation and logistic regression
Jaouad Mourtada, Stéphane Gaïffas
We introduce a procedure for conditional density estimation under logarithmic loss, which we call SMP (Sample Minmax Predictor). This estimator minimizes a new general excess risk…
math.ST2019★ 32 cited
Exact minimax risk for linear least squares, and the lower tail of sample covariance matrices
Jaouad Mourtada
We consider random-design linear prediction and related questions on the lower tail of random matrices. It is known that, under boundedness constraints, the minimax risk is of orde…