Finite Sample Performance of Linear Least Squares Estimators Under Sub-Gaussian Martingale Difference Noise
Finite Sample Performance of Linear Least Squares Estimators Under Sub-Gaussian Martingale Difference Noise
Linear Least Squares is a very well known technique for parameter estimation, which is used even when sub-optimal, because of its very low computational requirements and the fact that exact knowledge of the noise statistics is not required. Surprisingly, bounding the probability of large errors with finitely many samples has …