Online Learning for Prediction via Covariance Fitting: Computation, Performance and Robustness
Abstract: We consider the problem of online prediction using linear smoothers that are functions of a nominal covariance model with unknown parameters. The model parameters are often learned using cross-validation or maximum-likelihood techniques. But when training data arrives in a streaming fashion, the implementation of such techniques can only be done in an approximate manner. Even if this limitation could be overcome, there appears to be no clear-cut results on the statistical properties of the resulting predictor. Here we consider a covariance-fitting method to learn the model parameters, which was initially developed for spectral estimation. We first show that the use of this approach results in a computationally efficient online learning method in which the resulting predictor can be updated sequentially. We then prove that, with high probability, its out-of-sample error approaches the optimal level at a root-$n$ rate, where $n$ is the number of data samples. This is so even if the nominal covariance model is misspecified. Moreover, we show that the resulting predictor enjoys two robustness properties. First, it corresponds to a predictor that minimizes the out-of-sample error with respect to the least favourable distribution within a given Wasserstein distance from the empirical distribution. Second, it is robust against errors in the covariate training data. We illustrate the performance of the proposed method in a numerical experiment.
License: Creative Commons Attribution 4.0 International (CC BY 4.0)
Submission Length: Regular submission (no more than 12 pages of main content)
Changes Since Last Submission: Typo corrections. Camera ready.
Assigned Action Editor: ~Alain_Durmus1
Submission Number: 332