Related papers: The out-of-sample $R^2$: estimation and inference
Dimensionality reduction methods are very common in the field of high dimensional data analysis. Typically, algorithms for dimensionality reduction are computationally expensive. Therefore, their applications for the analysis of massive…
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees,…
The coefficient of determination, the $R^2$, is often used to measure the variance explained by an affine combination of multiple explanatory covariates. An attribution of this explanatory contribution to each of the individual covariates…
Out-of-distribution (OOD) detection is a crucial task for ensuring the reliability and robustness of machine learning models. Recent works have shown that generative models often assign high confidence scores to OOD samples, indicating that…
Random sampling is an essential tool in the processing and transmission of data. It is used to summarize data too large to store or manipulate and meet resource constraints on bandwidth or battery power. Estimators that are applied to the…
Outlying curves often occur in functional or longitudinal datasets, and can be very influential on parameter estimators and very hard to detect visually. In this article we introduce estimators of the mean and the principal components that…
Uncertainty estimation is a key component in any deployed machine learning system. One way to evaluate uncertainty estimation is using "out-of-distribution" (OoD) detection, that is, distinguishing between the training data distribution and…
We present a model of roundoff error analysis that combines simplicity with predictive power. Though not considering all sources of roundoff within an algorithm, the model is related to a recursive roundoff error analysis and therefore…
Performance estimation aims at estimating the loss that a predictive model will incur on unseen data. These procedures are part of the pipeline in every machine learning project and are used for assessing the overall generalisation ability…
Standard machine learning is unable to accommodate inputs which do not belong to the training distribution. The resulting models often give rise to confident incorrect predictions which may lead to devastating consequences. This problem is…
Root cause analysis of anomalies aims to identify how and why a sample deviates from the normal process. Existing methods primarily focus on telling which features are responsible, ignoring that anomalies can arise through two fundamentally…
Random feature mapping (RFM) is a popular method for speeding up kernel methods at the cost of losing a little accuracy. We study kernel ridge regression with random feature mapping (RFM-KRR) and establish novel out-of-sample error upper…
Data valuation has emerged as a powerful framework for quantifying each datum's contribution to the training of a machine learning model. However, it is crucial to recognize that the quality of cells within a single data point can vary…
A random forest prediction can be computed by the scalar product of the labels of the training examples and a set of weights that are determined by the leafs of the forest into which the test object falls; each prediction can hence be…
Matched case-control studies are commonly employed in epidemiological research for their convenience and efficiency. Analysis of secondary outcomes can yield valuable insights into biological pathways and help identify genetic variants of…
Non-probability sampling, for example in the form of online panels, has become a fast and cheap method to collect data. While reliable inference tools are available for classical probability samples, non-probability samples can yield…
Outlier detection is a fundamental task in data mining and has many applications including detecting errors in databases. While there has been extensive prior work on methods for outlier detection, modern datasets often have sizes that are…
In the past several years a wide range of methods for the construction of regression trees and other estimators based on the recursive partitioning of samples have appeared in the statistics literature. Many applications involve data…
As predictive algorithms grow in popularity, using the same dataset to both train and test a new model has become routine across research, policy, and industry. Sample-splitting attains valid inference on model properties by using separate…
This paper presents a fast methodology, called ROBOUT, to identify outliers in a response variable conditional on a set of linearly related predictors, retrieved from a large granular dataset. ROBOUT is shown to be effective and…