High-dimensional asymptotics of prediction: ridge regression and classification

DOI10.1214/17-AOS1549zbMath1428.62307arXiv1507.03003MaRDI QIDQ1747738

Edgar Dobriban, Stefan Wager

Publication date: 27 April 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.03003

zbMATH Keywords

prediction error; ridge regression; random matrix theory; high-dimensional asymptotics; regularized discriminant analysis

Mathematics Subject Classification ID

62H99: Multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62H30: Classification and discrimination; cluster analysis (statistical aspects)

62J05: Linear regression; mixed models

Uses Software

• Stanford Tagger