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A Central Limit Theorem for Regularized M-Estimators

#Central #Limit #Theorem #Regularized #M-Estimators

arXiv:2608.15034v1 Announce Type: new Abstract: We prove a quantitative central limit theorem for linear functionals of regularized empirical-risk minimizers in the proportional-dimensional regime \(p=O(n)\). The data columns are independent, not necessarily identically distributed, and satisfy a…