Supplement to "Robust linear least squares regression"

Jean-Yves Audibert (1, 2, 3) , Olivier Catoni (4, 5)

1 imagine [Marne-la-Vallée]
2 SIERRA - Statistical Machine Learning and Parsimony
3 LIGM - Laboratoire d'Informatique Gaspard-Monge
4 DMA - Département de Mathématiques et Applications - ENS Paris
5 CLASSIC - Computational Learning, Aggregation, Supervised Statistical, Inference, and Classification

This supplementary material provides the proofs of Theorems 2.1, 2.2 and 3.1 of the article ''Robust linear least squares regression''.

Mots clés: Linear regression; Least squares regression; Generalization error; Shrinkage; PAC-Bayesian theorems; Risk bounds; Robust statistics; Resistant estimators; Statistical learning theory

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Jean-Yves Audibert, Olivier Catoni. Supplement to "Robust linear least squares regression". Annals of Statistics, 2011, 39 (5), 19 p. ⟨10.1214/11-AOS918SUPP⟩. ⟨hal-00624459⟩