Paper ID: 2203.08564

An elementary analysis of ridge regression with random design

Jaouad Mourtada, Lorenzo Rosasco

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.

Submitted: Mar 16, 2022