Related papers: Model Selection Through Model Sorting
Often the goal of model selection is to choose a model for future prediction, and it is natural to measure the accuracy of a future prediction by squared error loss. Under the Bayesian approach, it is commonly perceived that the optimal…
In many fields of study, we only observe lower bounds on the true response value of some experiments. When fitting a regression model to predict the distribution of the outcomes, we cannot simply drop these right-censored observations, but…
Model selection often aims to choose a single model, assuming that the form of the model is correct. However, there may be multiple possible underlying explanatory patterns in a set of predictors that could explain a response. Model…
We propose a new discrete choice model, called the generalized stochastic preference (GSP) model, that incorporates non-rationality into the stochastic preference (SP) choice model, also known as the rank-based model. Our model can capture…
A fundamental challenge in approximating an unknown density using finite Gaussian mixture models is selecting the number of mixture components, also known as order. Traditional approaches choose a single best model using information…
We develop a new classification framework based on the theory of coherent risk measures and systemic risk. The proposed approach is suitable for multi-class problems when the data is noisy, scarce (relative to the dimension of the problem),…
PAC-Bayesian set up involves a stochastic classifier characterized by a posterior distribution on a classifier set, offers a high probability bound on its averaged true risk and is robust to the training sample used. For a given posterior,…
Named Entity Recognition (NER) serves as a foundational component in many natural language processing (NLP) pipelines. However, current NER models typically output a single predicted label sequence without any accompanying measure of…
The spectral risk has wide applications in machine learning, especially in real-world decision-making, where people are not only concerned with models' average performance. By assigning different weights to the losses of different sample…
Empirical risk minimization is a standard principle for choosing algorithms in learning theory. In this paper we study the properties of empirical risk minimization for time series. The analysis is carried out in a general framework that…
We consider a simple model of imprecise comparisons: there exists some $\delta>0$ such that when a subject is given two elements to compare, if the values of those elements (as perceived by the subject) differ by at least $\delta$, then the…
This paper addresses the challenge of identifying a minimal subset of discrete, independent variables that best predicts a binary class. We propose an efficient iterative method that sequentially selects variables based on which one…
The key objective of this paper is to develop an empirical model for pricing SPX options that can be simulated over future paths of the SPX. To accomplish this, we formulate and rigorously evaluate several statistical models, including…
In most prediction and estimation situations, scientists consider various statistical models for the same problem, and naturally want to select amongst the best. Hansen et al. (2011) provide a powerful solution to this problem by the…
To explain the decision of any model, we extend the notion of probabilistic Sufficient Explanations (P-SE). For each instance, this approach selects the minimal subset of features that is sufficient to yield the same prediction with high…
Most classification methods provide either a prediction of class membership or an assessment of class membership probability. In the case of two-group classification the predicted probability can be described as "risk" of belonging to a…
When data are right-censored, i.e. some outcomes are missing due to a limited period of observation, survival analysis can compute the "time to event". Multiple classes of outcomes lead to a classification variant: predicting the most…
Epidemic modeling in complex networks has become one of the latest topics in recent times. The Susceptible-Infectious-Recovered (SIR) model and its variants are often used for epidemic modeling. One important issue in epidemic modeling is…
Regression on medical image sequences can capture temporal image pattern changes and predict images at missing or future time points. However, existing geodesic regression methods limit their regression performance by a strong underlying…
Biochemical discovery increasingly relies on classifying molecular structures when the consequences of different errors are highly asymmetric. In mutagenicity and carcinogenicity, misclassifying a harmful compound as benign can trigger…