Lecture Notes on High Dimensional Linear Regression

Alberto Quaini

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arXiv · 2412.15633

Lecture Notes on High Dimensional Linear Regression

Alberto Quaini

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Abstract

These lecture notes cover advanced topics in linear regression, with an in-depth exploration of the existence, uniqueness, relations, computation, and non-asymptotic properties of the most prominent estimators in this setting. The covered estimators include least squares, ridgeless, ridge, and lasso. The content follows a proposition-proof structure, making it suitable for students seeking a formal and rigorous understanding of the statistical theory underlying machine learning methods.

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Alberto Quaini. 2025-12-03. Lecture Notes on High Dimensional Linear Regression. https://arxiv.org/abs/2412.15633

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