Optimal rates for aggregation of affine estimators
仿射估计量聚合的最优收敛率
Aggregation of estimation procedures has found important applications in econometrics, statistics, and machine learning. Classical statistical aggregation theory has mainly focused on a \emph{pure aggregation} setting, where the candidate estimators are either deterministic or constructed using a held-out sample independent of that used for aggregation. When the candidate estimators and the aggregation weights are estimated from the same dataset without sample splitting,…