Advanced Studies in Pure Mathematics
- Adv. Stud. Pure Math.
- Probabilistic Approach to Geometry, M. Kotani, M. Hino and T. Kumagai, eds. (Tokyo: Mathematical Society of Japan, 2010), 473 - 492
A limit theorem in singular regression problem
In statistical problems, a set of parameterized probability distributions is often used to estimate the true probability distribution. If the Fisher information matrix at the true distribution is singular, then it has been left unknown what we can estimate about the true distribution from random samples. In this paper, we study a singular regression problem and prove a limit theorem which shows the relation between the accuracy of singular regression and two birational invariants, a real log canonical threshold and a singular fluctuation. The obtained theorem has an important application to statistics, because it enables us to estimate the generalization error from the training error without any knowledge of the true probability distribution.
Received: 15 January 2009
Revised: 7 July 2009
First available in Project Euclid: 24 November 2018
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Watanabe, Sumio. A limit theorem in singular regression problem. Probabilistic Approach to Geometry, 473--492, Mathematical Society of Japan, Tokyo, Japan, 2010. doi:10.2969/aspm/05710473. https://projecteuclid.org/euclid.aspm/1543086333