Related papers: Estimation Stability with Cross Validation (ESCV)
Although the leave-subject-out cross-validation (CV) has been widely used in practice for tuning parameter selection for various nonparametric and semiparametric models of longitudinal data, its theoretical property is unknown and solving…
Modern data analysis and statistical learning are marked by complex data structures and black-box algorithms. Data complexity stems from technologies such as imaging, remote sensing, wearable devices, and genomic sequencing. At the same…
The covariance matrix plays a fundamental role in many modern exploratory and inferential statistical procedures, including dimensionality reduction, hypothesis testing, and regression. In low-dimensional regimes, where the number of…
Cross-validation is one of the most popular model selection methods in statistics and machine learning. Despite its wide applicability, traditional cross validation methods tend to select overfitting models, due to the ignorance of the…
The lasso and related sparsity inducing algorithms have been the target of substantial theoretical and applied research. Correspondingly, many results are known about their behavior for a fixed or optimally chosen tuning parameter specified…
K-fold cross validation (CV) is a popular method for estimating the true performance of machine learning models, allowing model selection and parameter tuning. However, the very process of CV requires random partitioning of the data and so…
Careful tuning of a regularization parameter is indispensable in many machine learning tasks because it has a significant impact on generalization performances. Nevertheless, current practice of regularization parameter tuning is more of an…
Cross-validation (CV) is one of the main tools for performance estimation and parameter tuning in machine learning. The general recipe for computing CV estimate is to run a learning algorithm separately for each CV fold, a computationally…
Cross-validation (CV) is routinely used across the sciences to select models and tune parameters, and the resulting choices are often interpreted as substantive scientific conclusions (e.g., which variables, mechanisms, or risk factors are…
Extremum seeking control (ESC) are optimization algorithms in continuous time, with model-based ESCs using true derivative information of the cost function and model-free ESCs utilizing perturbation-based estimates instead. Stability…
Evaluating models fit to data with internal spatial structure requires specific cross-validation (CV) approaches, because randomly selecting assessment data may produce assessment sets that are not truly independent of data used to train…
We analyze the performance of cross-validation (CV) in the density estimation framework with two purposes: (i) risk estimation and (ii) model selection. The main focus is given to the so-called leave-$p$-out CV procedure (Lpo), where $p$…
Many modern datasets, such as those in ecology and geology, are composed of samples with spatial structure and dependence. With such data violating the usual independent and identically distributed (IID) assumption in machine learning and…
Data normalisation, a common and often necessary preprocessing step in engineering and scientific applications, can severely distort the discovery of governing equations by magnitudebased sparse regression methods. This issue is…
Extremum Seeking Control (ESC) is a well-known set of continuous time algorithms for model-free optimization of a cost function. One issue for ESCs is the convergence rates of parameters to extrema of unknown cost functions. The local…
In variable or graph selection problems, finding a right-sized model or controlling the number of false positives is notoriously difficult. Recently, a meta-algorithm called Stability Selection was proposed that can provide reliable…
Sparse learning techniques have been routinely used for feature selection as the resulting model usually has a small number of non-zero entries. Safe screening, which eliminates the features that are guaranteed to have zero coefficients for…
Least absolute shrinkage and selection operator or Lasso is one of the widely used regularization methods in regression. Statisticians usually implement Lasso in practice by choosing the penalty parameter in a data-dependent way, the most…
The Lasso is a prominent algorithm for variable selection. However, its instability in the presence of correlated variables in the high-dimensional setting is well-documented. Although previous research has attempted to address this issue…
In high-dimensional data analysis, regularization methods pursuing sparsity and/or low rank have received a lot of attention recently. To provide a proper amount of shrinkage, it is typical to use a grid search and a model comparison…