On ridge estimation in high-dimensional rotationally sparse linear regression

DOI10.1214/26-EJS2496MaRDI QIDQ6842112zbMATH OpenFDO

Authors Libin Liang, Zhiqiang Tan

Publication date 20 March 2026

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-20/issue-1/On-ridge-estimation-in-high-dimensional-rotationally-sparse-linear-regression/10.1214/26-EJS2496.full

zbMATH Keywords

high-dimensional regressionin-sample prediction errorinterpolating estimatorlinear regressionout-sample prediction errorridge estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites work

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• Random design analysis of ridge regression
• Reconciling modern machine-learning practice and the classical bias-variance trade-off
• Simultaneous analysis of Lasso and Dantzig selector
• Statistics for high-dimensional data. Methods, theory and applications.
• Surprises in high-dimensional ridgeless least squares interpolation
• Universality of regularized regression estimators in high dimensions

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