Related papers: Cross-validatory model selection for Bayesian auto…
As evidenced by various recent and significant papers within the frequentist literature, along with numerous applications in macroeconomics, genomics, and neuroscience, there continues to be substantial interest to understand the…
Cardiovascular disease (CVD) cohorts collect data longitudinally to study the association between CVD risk factors and event times. An important area of scientific research is to better understand what features of CVD risk factor…
In this paper, we consider a Bayesian bi-level variable selection problem in high-dimensional regressions. In many practical situations, it is natural to assign group membership to each predictor. Examples include that genetic variants can…
The future predictive performance of a Bayesian model can be estimated using Bayesian cross-validation. In this article, we consider Gaussian latent variable models where the integration over the latent values is approximated using the…
We establish a general upper bound for $K$-fold cross-validation ($K$-CV) errors that can be adapted to many $K$-CV-based estimators and learning algorithms. Based on Rademacher complexity of the model and the Orlicz-$\Psi_{\nu}$ norm of…
Complex computer codes or models can often be run in a hierarchy of different levels of complexity ranging from the very basic to the sophisticated. The top levels in this hierarchy are typically expensive to run, which limits the number of…
Two key tasks in high-dimensional regularized regression are tuning the regularization strength for accurate predictions and estimating the out-of-sample risk. It is known that the standard approach -- $k$-fold cross-validation -- is…
Evidence accumulation models (EAMs) are an important class of cognitive models used to analyze both response time and response choice data recorded from decision-making tasks. Developments in estimation procedures have helped EAMs become…
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…
Approximate Leave-One-Out Cross-Validation (ALO-CV) is a method that has been proposed to estimate the generalization error of a regularized estimator in the high-dimensional regime where dimension and sample size are of the same order, the…
We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…
Designs conditions for marine structures are typically informed by threshold-based extreme value analyses of oceanographic variables, in which excesses of a high threshold are modelled by a generalized Pareto (GP) distribution. Too low a…
Cross-validation is the workhorse of modern applied statistics and machine learning, as it provides a principled framework for selecting the model that maximizes generalization performance. In this paper, we show that the cross-validation…
We develop a variational Bayesian (VB) approach for estimating large-scale dynamic network models in the network autoregression framework. The VB approach allows for the automatic identification of the dynamic structure of such a model and…
We propose a simple method for evaluating the model that has been chosen by an adaptive regression procedure, our main focus being the lasso. This procedure deletes each chosen predictor and refits the lasso to get a set of models that are…
Determining the number of factors is essential to factor analysis. In this paper, we propose {an efficient cross validation (CV)} method to determine the number of factors in approximate factor models. The method applies CV twice, first…
Bayesian networks can represent directed gene regulations and therefore are favored over co-expression networks. However, hardly any Bayesian network study concerns the false discovery control (FDC) of network edges, leading to low…
In the Bayesian literature on model comparison, Bayes factors play the leading role. In the classical statistical literature, model selection criteria are often devised used cross-validation ideas. Amalgamating the ideas of Bayes factor and…
Leave-one-out cross-validation (LOO) and the widely applicable information criterion (WAIC) are methods for estimating pointwise out-of-sample prediction accuracy from a fitted Bayesian model using the log-likelihood evaluated at the…
Model averaging is an important alternative to model selection with attractive prediction accuracy. However, its application to high-dimensional data remains under-explored. We propose a high-dimensional model averaging method via…