Learning Linear Dynamical Systems with Semi-Parametric Least Squares
COLT, pp. 2714-2802, 2019.
We analyze a simple prefiltered variation of the least squares estimator for the problem of estimation with biased, semi-parametric noise, an error model studied more broadly in causal statistics and active learning. We prove an oracle inequality which demonstrates that this procedure provably mitigates the variance introduced by long-ter...More
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