On the Exponentially Weighted Aggregate with the Laplace Prior

Speaker(s): 
Arnak Dalayan (ENSAE Paris)
Date: 
Wednesday, November 8, 2017 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In this talk, we will present some results on the statistical behaviour of the Exponentially Weighted Aggregate (EWA) in the problem of high-dimensional regression with fixed design. Under the assumption that the underlying regression vector is sparse, it is reasonable to use the Laplace distribution as a prior. The resulting estimator and, specifically, a particular instance of it referred to as the Bayesian lasso, was already used in the statistical literature because of its computational convenience, even though no thorough mathematical analysis of its statistical properties was carried out. The results of this talk fill this gap by establishing sharp oracle inequalities for the EWA with the Laplace prior. These inequalities show that if the temperature parameter is small, the EWA with the Laplace prior satisfies the same type of oracle inequality as the lasso estimator does, as long as the quality of estimation is measured by the prediction loss. Extensions of the proposed methodology to the problem of prediction with low-rank matrices will be discussed as well.
(based on a joint work with Edwin Grappin and Quentin Paris)