Simple Proof of the Risk Bound for Denoising by Exponential Weights for Asymmetric Noise Distributions
Journal of Contemporary Mathematical Analysis (Armenian Academy of Sciences)(2023)
摘要
In this note, we consider the problem of aggregation of estimators in order to denoise a signal. The main contribution is a short proof of the fact that the exponentially weighted aggregate satisfies a sharp oracle inequality. While this result was already known for a wide class of symmetric noise distributions, the extension to asymmetric distributions presented in this note is new.
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关键词
signal denoising,exponential weights,PAC-Bayesian bounds
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