An elementary analysis of ridge regression with random design

03/16/2022

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by   Jaouad Mourtada, et al.

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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.