High-dimensional ridge regression with random features for non-identically distributed data with a variance profile

Issa-Mbenard Dabo, Jérémie Bigot

Random feature ridge regression is often analyzed in the high-dimensional regime under the homogeneous sampling model $x_i={\Sigma }^{1/2}{x}_i^{\prime }$, where the vectors $x_i^{\prime }$ have iid entries a…