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math.ST2021
Rank-Constrained Least-Squares: Prediction and Inference
Michael Law, Ya'acov Ritov, Ruixiang Zhang +1
In this work, we focus on the high-dimensional trace regression model with a low-rank coefficient matrix. We establish a nearly optimal in-sample prediction risk bound for the rank…
math.ST2021
High-Dimensional Varying Coefficient Models with Functional Random Effects
Michael Law, Ya'acov Ritov
We consider a sparse high-dimensional varying coefficients model with random effects, a flexible linear model allowing covariates and coefficients to have a functional dependence w…