Random linear estimation with rotationally-invariant designs: Asymptotics at high temperature

Yufan Li, Zhou Fan, Subhabrata Sen +1

We study estimation in the linear model $y=A{\beta }^{\star }+\epsilon$, in a Bayesian setting where ${\beta }^{\star }$ has an entrywise i.i.d. prior and the design $A$ is rotationally-invariant in law. In…