Inference in latent factor regression with clusterable features

Xin Bing, Florentina Bunea, Marten Wegkamp

Regression models, in which the observed features $X\in {\mathbb{R}}^p$ and the response $Y\in \mathbb{R}$ depend, jointly, on a lower dimensional, unobserved, latent vector $Z\in {\mathbb{R}}^K$, with $K<…