An elementary analysis of ridge regression with random design
Jaouad Mourtada, Lorenzo Rosasco · Comptes Rendus Mathématique · 2022
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.