Online Covariance Estimation in Averaged SGD: Improved Batch-Mean Rates and Minimax Optimality via Trajectory Regression
arXiv:2604.10814v1 Announce Type: new
Abstract: We study online covariance matrix estimation for Polyak–Ruppert averaged stochastic gradient descent (SGD). The online batch-means estimator of Zhu, Chen and Wu (2023) achieves an operator-norm converge…