ℓ_1-regression with Heavy-tailed Distributions
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In this paper, we consider the problem of linear regression with heavy-tailed distributions. Different from previous studies that use the squared loss to measure the performance, we choose the absolute loss, which is more robust in the presence of large prediction errors. To address the challenge that both the input and output could be heavy-tailed, we propose a truncated minimization problem, and demonstrate that it enjoys an O(√(d/n)) excess risk, where d is the dimensionality and n is the number of samples. Compared with traditional work on ℓ_1-regression, the main advantage of our result is that we achieve a high-probability risk bound without exponential moment conditions on the input and output. Our theoretical guarantee is derived from a novel combination of the PAC-Bayesian analysis and the covering number.
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