We consider the problem of recovering an unknown vector from noisy data. The vector is estimated using a family of projection estimates, and the goal is finding a sufficiently good convex combination of these estimates based on the observations. We study an aggregation method for constructing estimates related to the so-called exponential weighting and present an upper bound on the mean-square risk of this method.
Problems of Information Transmission – Springer Journals
Published: Oct 17, 2012
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