Sparsified-Learning for Heavy-Tailed Locally Stationary Processes
- URL: http://arxiv.org/abs/2504.06477v1
- Date: Tue, 08 Apr 2025 22:43:55 GMT
- Title: Sparsified-Learning for Heavy-Tailed Locally Stationary Processes
- Authors: Yingjie Wang, Mokhtar Z. Alaya, Salim Bouzebda, Xinsheng Liu,
- Abstract summary: We develop a flexible and robust sparse learning framework capable of handling heavy-tailed data.<n>We also provide non-asymptotic oracle inequalities for different types of sparsity.
- Score: 4.273261396227034
- License: http://creativecommons.org/licenses/by/4.0/
- Abstract: Sparsified Learning is ubiquitous in many machine learning tasks. It aims to regularize the objective function by adding a penalization term that considers the constraints made on the learned parameters. This paper considers the problem of learning heavy-tailed LSP. We develop a flexible and robust sparse learning framework capable of handling heavy-tailed data with locally stationary behavior and propose concentration inequalities. We further provide non-asymptotic oracle inequalities for different types of sparsity, including $\ell_1$-norm and total variation penalization for the least square loss.
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