Develops a batch-free online covariance estimator for sketched Newton methods, proves its consistency, and demonstrates use for online statistical inference on regression and CUTEst problems.
(C.1) We first calculate the rate of the term in the curly bracket in II
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Online Covariance Matrix Estimation in Sketched Newton Methods
Develops a batch-free online covariance estimator for sketched Newton methods, proves its consistency, and demonstrates use for online statistical inference on regression and CUTEst problems.