Prediction Risk and Estimation Risk of the Ridgeless Least Squares Estimator under General Assumptions on Regression Errors
一般回归误差假设下无岭最小二乘估计量的预测与估计风险
In recent years, there has been a significant growth in research focusing on minimum $\ell_2$ norm (ridgeless) interpolation least squares estimators. However, the majority of these analyses have been limited to an unrealistic regression error structure, assuming independent and identically distributed errors with zero mean and common variance. In this paper, we explore prediction risk as well as estimation risk under more general regression error assumptions, highlighting…