Over-parameterized linear regression has been widely studied over the last decade. However, most existing works assume that the covariates are independent and that their covariance matrices are non-degenerate.

In this paper, we relax both assumptions and derive deterministic equivalents for the prediction risk in a vanishing-ridge regime. We show that degeneracy of the covariance matrices and dependence can lead to multiple descent, and characterize where the corresponding peaks can occur.

Our proofs use a novel graph representation of the variance profile. We show that maximum matchings and the Dulmage--Mendelsohn decomposition of the associated bipartite graph identify the configurations at which the variance becomes singular.