Precise analysis of ridge interpolators under heavy correlations -- a Random Duality Theory view
强相关结构下岭插值估计量的精确分析:随机对偶理论视角
We consider fully row/column-correlated linear regression models and study several classical estimators (including minimum norm interpolators (GLS), ordinary least squares (LS), and ridge regressors). We show that \emph{Random Duality Theory} (RDT) can be utilized to obtain precise closed form characterizations of all estimators related optimizing quantities of interest, including the \emph{prediction risk} (testing or generalization error). On a qualitative level out…