most citedAnalysing Multi-Task Regression via Random Matrix Theory with Application to Time Series Forecasting

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Analysing Multi-Task Regression via Random Matrix Theory with Application to Time Series Forecasting

Romain Ilbert, Malik Tiomoko, Cosme Louart +4

In this paper, we introduce a novel theoretical framework for multi-task regression, applying random matrix theory to provide precise performance estimations, under high-dimensiona…