Singular ridge regression with homoscedastic residuals: generalization error with estimated parameters

29 May 2016Lyudmila GrigoryevaJuan-Pablo Ortega

This paper characterizes the conditional distribution properties of the finite sample ridge regression estimator and uses that result to evaluate total regression and generalization errors that incorporate the inaccuracies committed at the time of parameter estimation. The paper provides explicit formulas for those errors... (read more)

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