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math.ST2022★ 1 cited
Noise Covariance Estimation in Multi-Task High-dimensional Linear Models
Kai Tan, Gabriel Romon, Pierre C Bellec
This paper studies the multi-task high-dimensional linear regression models where the noise among different tasks is correlated, in the moderately high dimensional regime where sam…
math.ST2022★ 1 cited
Observable adjustments in single-index models for regularized M-estimators
Pierre C Bellec
We consider observations from single index models with unknown link function, Gaussian covariates and a regularized M-estimator constructed from convex loss functio…