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math.ST2019
On the number of variables to use in principal component regression
Ji Xu, Daniel Hsu
We study least squares linear regression over uncorrelated Gaussian features that are selected in order of decreasing variance. When the number of selected features is at m…
math.ST2019
Consistent Risk Estimation in Moderately High-Dimensional Linear Regression
Ji Xu, Arian Maleki, Kamiar Rahnama Rad +1
Risk estimation is at the core of many learning systems. The importance of this problem has motivated researchers to propose different schemes, such as cross validation, generalize…