Learning without Concentration

We obtain sharp bounds on the estimation error of the Empirical Risk Minimization procedure, performed in a convex class and with respect to the squared loss, without assuming that class members and the target are bounded functions or have rapidly decaying tails. Rather than resorting to a concentration-based argument, the method used here relies on a “small-ball” assumption and thus holds for classes consisting of heavy-tailed functions and for heavy-tailed targets. The resulting estimates scale correctly with the “noise level” of the problem, and when applied to the classical, bounded scenario, always improve the known bounds.