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econ.EM2024
Performance of Empirical Risk Minimization For Principal Component Regression
Christian Brownlees, Guðmundur Stefán Guðmundsson, Yaping Wang
This paper studies the predictive performance of empirical risk minimization for principal component regression. Our analysis accommodates the leading eigenvalues of the predictor…
econ.EM2021★ 7 cited
Performance of Empirical Risk Minimization for Linear Regression with Dependent Data
Christian Brownlees, Guðmundur Stefán Guðmundsson
This paper establishes bounds on the performance of empirical risk minimization for large-dimensional linear regression. We generalize existing results by allowing the data to be d…