Finite Sample Analysis of Distribution-Free Confidence Ellipsoids for Linear Regression
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DOI: 10.1109/tsp.2025.3588333
Abstract: The least squares (LS) estimate is the archetypical solution of linear regression problems. The asymptotic Gaussianity of the scaled LS error is often used to construct approximate confidence ellipsoids around the LS estimate, however, for… read more here.
Keywords: confidence ellipsoids; ellipsoids linear; distribution free; linear regression ... See more keywords