Weighted automata (WFAs) provide a general framework for the representation of functions mapping strings to real numbers. They include as special instances deterministic finite automata (DFAs), hidden Markov models (HMMs), and predictive states representations (PSRs). In recent years, there has been a renewed interest in weighted automata in machine learning due to the development of efficient and provably correct spectral algorithms for learning weighted automata. Despite the effectiveness reported for spectral techniques in real-world problems, almost all existing statistical guarantees for spectral learning of weighted automata rely on a strong realizability assumption. In this paper, we initiate a systematic study of the learning guarantees for broad classes of weighted automata in an agnostic setting. Our results include bounds on the Rademacher complexity of three general classes of weighted automata, each described in terms of different natural quantities. Interestingly, these bounds underline the key role of different data-dependent parameters in the convergence rates.