Estimating conditional expectation
Hông Vân Lê
Abstract
In this paper, we consider the problem of estimating conditional expectations as an ill-posed inverse problem. We propose a solution based on a generalization of Vapnik's theorem [Theorem 7.2]Vapnik1998 for solving stochastic ill-posed problems in Hilbert spaces. As an application, we derive a new upper bound for sample errors of conditional expectation estimation.
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