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Cross-validation is the standard approach for tuning parameter selection in many non-parametric regression problems. However its use is less common in change-point regression, perhaps as its prediction error-based criterion may appear to…
In spite of the wealth of literature on the theoretical properties of the Lasso, there is very little known when the value of the tuning parameter is chosen using the data, even though this is what actually happens in practice. We give a…
Recent years have seen substantial advances in our understanding of high-dimensional ridge regression, but existing theories assume that training examples are independent. By leveraging techniques from random matrix theory and free…
Cross-validation is a widely-used technique to estimate prediction error, but its behavior is complex and not fully understood. Ideally, one would like to think that cross-validation estimates the prediction error for the model at hand, fit…
Modern regression problems often involve high-dimensional data and a careful tuning of the regularization hyperparameters is crucial to avoid overly complex models that may overfit the training data while guaranteeing desirable properties…
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…
Given a high-dimensional covariate matrix and a response vector, ridge-regularized sparse linear regression selects a subset of features that explains the relationship between covariates and the response in an interpretable manner. To…
Logistic regression is a ubiquitous method for probabilistic classification. However, the effectiveness of logistic regression depends upon careful and relatively computationally expensive tuning, especially for the regularisation…
Tuning parameter selection is of critical importance for kernel ridge regression. To this date, data driven tuning method for divide-and-conquer kernel ridge regression (d-KRR) has been lacking in the literature, which limits the…
We employ random matrix theory to establish consistency of generalized cross validation (GCV) for estimating prediction risks of sketched ridge regression ensembles, enabling efficient and consistent tuning of regularization and sketching…
In this paper, for Lasso penalized linear regression models in high-dimensional settings, we propose a modified cross-validation method for selecting the penalty parameter. The methodology is extended to other penalties, such as Elastic…
The lasso procedure is ubiquitous in the statistical and signal processing literature, and as such, is the target of substantial theoretical and applied research. While much of this research focuses on the desirable properties that lasso…
We study subsampling-based ridge ensembles in the proportional asymptotics regime, where the feature size grows proportionally with the sample size such that their ratio converges to a constant. By analyzing the squared prediction risk of…
Features in predictive models are not exchangeable, yet common supervised models treat them as such. Here we study ridge regression when the analyst can partition the features into $K$ groups based on external side-information. For example,…
We study the following three fundamental problems about ridge regression: (1) what is the structure of the estimator? (2) how to correctly use cross-validation to choose the regularization parameter? and (3) how to accelerate computation…
Penalized (or regularized) regression, as represented by Lasso and its variants, has become a standard technique for analyzing high-dimensional data when the number of variables substantially exceeds the sample size. The performance of…
Generalized cross-validation (GCV) is a widely-used method for estimating the squared out-of-sample prediction risk that employs a scalar degrees of freedom adjustment (in a multiplicative sense) to the squared training error. In this…
Cross-validation is a popular non-parametric method for evaluating the accuracy of a predictive rule. The usefulness of cross-validation depends on the task we want to employ it for. In this note, I discuss a simple non-parametric setting,…
Meta-learning involves training models on a variety of training tasks in a way that enables them to generalize well on new, unseen test tasks. In this work, we consider meta-learning within the framework of high-dimensional multivariate…
A popular data-driven method for choosing the bandwidth in standard kernel regression is cross-validation. Even when there are outliers in the data, robust kernel regression can be used to estimate the unknown regression curve [Robust and…