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stat.ML2020
Prediction in latent factor regression: Adaptive PCR and beyond
Xin Bing, Florentina Bunea, Seth Strimas-Mackey +1
This work is devoted to the finite sample prediction risk analysis of a class of linear predictors of a response from a high-dimensional random vector $X\in \math…
stat.ML2020
Interpolating Predictors in High-Dimensional Factor Regression
Florentina Bunea, Seth Strimas-Mackey, Marten Wegkamp
This work studies finite-sample properties of the risk of the minimum-norm interpolating predictor in high-dimensional regression models. If the effective rank of the covariance ma…