most citedNoise Covariance Estimation in Multi-Task High-dimensional Linear Models

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math.ST2022★ 1 cited

Noise Covariance Estimation in Multi-Task High-dimensional Linear Models

Kai Tan, Gabriel Romon, Pierre C Bellec

This paper studies the multi-task high-dimensional linear regression models where the noise among different tasks is correlated, in the moderately high dimensional regime where sam…