On Catoni's M-Estimation
Statistics Theory
2022-10-18 v1 Statistics Theory
Abstract
Catoni proposed a robust M-estimator and gave the deviation inequality for one fixed test function. The present paper is devoted to the uniform concentration inequality for a family of test functions. As an application, we consider empirical risk minimization for heavy-tailed losses.
Cite
@article{arxiv.2210.08211,
title = {On Catoni's M-Estimation},
author = {Pengtao Li and Hanchao Wang},
journal= {arXiv preprint arXiv:2210.08211},
year = {2022}
}