Envelope-guided regularization for improved prediction in high-dimensional multivariate regression

DOI10.1016/J.JMVA.2026.105670MaRDI QIDQ7304410zbMATH OpenFDO

Authors Tate Jacobson

Publication date 27 July 2026

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2026.105670

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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• Surprises in high-dimensional ridgeless least squares interpolation

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