Optimal Estimation in Orthogonally Invariant Generalized Linear Models: Spectral Initialization and Approximate Message Passing
arXiv:2602.09240v1 Announce Type: cross Abstract: We consider the problem of parameter estimation from a generalized linear model with a random design matrix that is orthogonally invariant in law. Such a model allows the design have an arbitrary distribution of singular values and only assumes that its singular vectors are generic. It is a vast generalization of the i.i.d. Gaussian design typically considered in the theoretical literature, and is motivated by the fact that real data often have a […]