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A note on generalization bounds for losses with finite moments
March 26, 2024, 4:43 a.m. | Borja Rodr\'iguez-G\'alvez, Omar Rivasplata, Ragnar Thobaben, Mikael Skoglund
cs.LG updates on arXiv.org arxiv.org
Abstract: This paper studies the truncation method from Alquier [1] to derive high-probability PAC-Bayes bounds for unbounded losses with heavy tails. Assuming that the $p$-th moment is bounded, the resulting bounds interpolate between a slow rate $1 / \sqrt{n}$ when $p=2$, and a fast rate $1 / n$ when $p \to \infty$ and the loss is essentially bounded. Moreover, the paper derives a high-probability PAC-Bayes bound for losses with a bounded variance. This bound has an …
abstract arxiv bayes cs.lg losses moments paper probability rate stat.ml studies type
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