相关论文: A note on adjusting $R^2$ for using with cross-val…

Cross-validation (CV) methods are popular for selecting the tuning parameter in the high-dimensional variable selection problem. We show the mis-alignment of the CV is one possible reason of its over-selection behavior. To fix this issue,…

Cross-validation is a statistical tool that can be used to improve large covariance matrix estimation. Although its efficiency is observed in practical applications and a convergence result towards the error of the non linear shrinkage is…

With the growing application of spatial predictive modeling in ecology, the question of how to appropriately evaluate the resulting maps has gained increasing attention. While there is consensus that map accuracy is ideally estimated using…

This paper studies prediction summary measures for a prediction function under a general setting in which the model is allowed to be misspecified and the prediction function is not required to be the conditional mean response. We show that…

One of the common goals of time series analysis is to use the observed series to inform predictions for future observations. In the absence of any actual new data to predict, cross-validation can be used to estimate a model's future…

Tuning parameters in supervised learning problems are often estimated by cross-validation. The minimum value of the cross-validation error can be biased downward as an estimate of the test error at that same value of the tuning parameter.…

While shrinkage is essential in high-dimensional settings, its use for low-dimensional regression-based prediction has been debated. It reduces variance, often leading to improved prediction accuracy. However, it also inevitably introduces…

We investigate leave-one-out cross validation (CV) as a determinator of the weight of the penalty term in the least absolute shrinkage and selection operator (LASSO). First, on the basis of the message passing algorithm and a perturbative…

We suggest a dependence coefficient between a categorical variable and some general variable taking values in a metric space. We derive important theoretical properties and study the large sample behaviour of our suggested estimator.…

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…

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…

In observational causal inference, domain knowledge often leaves multiple covariate adjustments plausible, yet which sets satisfy ignorability is untestable. Different adjustment sets can yield conflicting estimates of the average treatment…

K-fold cross-validation (CV) with squared error loss is widely used for evaluating predictive models, especially when strong distributional assumptions cannot be taken. However, CV with squared error loss is not free from distributional…

To evaluate the calibration of a disease risk prediction tool, the quantity $E/O$, i.e., the ratio of the expected number of events to the observed number of events, is generally computed. However, because of censoring, or more precisely…

We prove that boosting with the squared error loss, $L_2$Boosting, is consistent for very high-dimensional linear models, where the number of predictor variables is allowed to grow essentially as fast as $O$(exp(sample size)), assuming that…

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…

The (relevance) weighted likelihood was introduced to formally embrace a variety of statistical procedures that trade bias for precision. Unlike its classical counterpart, the weighted likelihood combines all relevant information while…

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…

This note introduces the method of cross-conformal prediction, which is a hybrid of the methods of inductive conformal prediction and cross-validation, and studies its validity and predictive efficiency empirically.

Variance estimation is a fundamental problem in statistical modeling. In ultrahigh dimensional linear regressions where the dimensionality is much larger than sample size, traditional variance estimation techniques are not applicable.…