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arXiv · 2203.08564

An elementary analysis of ridge regression with random design

Jaouad Mourtada·Lorenzo Rosasco
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Abstract

In this note, we provide an elementary analysis of the prediction error of ridge regression with random design. The proof is short and self-contained. In particular, it bypasses the use of Rudelson's deviation inequality for covariance matrices, through a combination of exchangeability arguments, matrix perturbation and operator convexity.

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Jaouad Mourtada, Lorenzo Rosasco. 2022-04-22. An elementary analysis of ridge regression with random design. https://doi.org/10.5802/crmath.367

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