The noise level in linear regression with dependent data

05/18/2023

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by   Ingvar Ziemann, et al.

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We derive upper bounds for random design linear regression with dependent (β-mixing) data absent any realizability assumptions. In contrast to the strictly realizable martingale noise regime, no sharp instance-optimal non-asymptotics are available in the literature. Up to constant factors, our analysis correctly recovers the variance term predicted by the Central Limit Theorem – the noise level of the problem – and thus exhibits graceful degradation as we introduce misspecification. Past a burn-in, our result is sharp in the moderate deviations regime, and in particular does not inflate the leading order term by mixing time factors.