Exponential weights in multivariate regression and a low-rankness favoring prior

Abstract: We establish theoretical guarantees for the expected prediction error of the exponential weighting aggregate in the case of multivariate regression that is when the label vector is multidimensional. We consider the regression model with fixed design and bounded noise. The first new feature uncovered by our guarantees is that it is not necessary to require independence of the observations: a symmetry condition on the noise distribution alone suffices to get a sharp risk bound. This result needs the regression vectors to be bounded. A second curious finding concerns the case of unbounded regression vectors but independent noise. It turns out that applying exponential weights to the label vectors perturbed by a uniform noise leads to an estimator satisfying a sharp oracle inequality. The last contribution is the instantiation of the proposed oracle inequalities to problems in which the unknown parameter is a matrix. We propose a low-rankness favoring prior and show that it leads to an estimator that is optimal under weak assumptions.