AI & ML
Robust Local Fr\'echet Regression: Nonasymptotic Theory and Minimax Optimality
arXiv stat.TH0 views
arXiv:2610.23757v1 Announce Type: new Abstract: We develop robust local Fr\'echet regression for heavy-tailed responses in a general metric space and propose a distance-based median-of-means estimator. We derive nonasymptotic pointwise high-probability bounds separately under local second-order smoothness and local $1$-Wasserstein H\"older continuity, and show that the corresponding optimized rates match the classical pointwise rates for nonparametric regression. We also establish matching pointwise minimax lower bounds over embedded Gaussian regression subclasses. Remarkably, our results do not require an entropy condition on the response space. Simulation studies with positive-definite matrix-valued responses, together with a real-data application involving Wasserstein-valued responses, illustrate the robustness--efficiency tradeoff and practical performance of the proposed estimator.
Source:https://arxiv.org/abs/2610.23757PreviousExact Tail Laws for Nonlinear SGD with Infinite-Variance GradientsNextFeasible closed form moment matching for scenario generation through covariance rotations
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