相关论文: A Swiss Army Infinitesimal Jackknife

Cross validation (CV) and the bootstrap are ubiquitous model-agnostic tools for assessing the error or variability of machine learning and statistical estimators. However, these methods require repeatedly re-fitting the model with different…

Though introduced nearly 50 years ago, the infinitesimal jackknife (IJ) remains a popular modern tool for quantifying predictive uncertainty in complex estimation settings. In particular, when supervised learning ensembles are constructed…

The Infinitesimal Jackknife is a general method for estimating variances of parametric models, and more recently also for some ensemble methods. In this paper we extend the Infinitesimal Jackknife to estimate the covariance between any two…

The frequentist variability of Bayesian posterior expectations can provide meaningful measures of uncertainty even when models are misspecified. Classical methods to asymptotically approximate the frequentist covariance of Bayesian…

Conformal inference, cross-validation+, and the jackknife+ are hold-out methods that can be combined with virtually any machine learning algorithm to construct prediction sets with guaranteed marginal coverage. In this paper, we develop…

Quantitative research in the social and behavioral sciences relies heavily on nonlinear posterior functionals such as indirect effects, standardized coefficients, effect sizes, intraclass correlations, and multilevel variance-explained…

This paper introduces the jackknife+, which is a novel method for constructing predictive confidence intervals. Whereas the jackknife outputs an interval centered at the predicted response of a test point, with the width of the interval…

The infinitesimal jackknife (IJ) has recently been applied to the random forest to estimate its prediction variance. These theorems were verified under a traditional random forest framework which uses classification and regression trees…

Covariance matrix estimation, a classical statistical topic, poses significant challenges when the sample size is comparable to or smaller than the number of features. In this paper, we frame covariance matrix estimation as a compound…

We analyze bias correction methods using jackknife, bootstrap, and Taylor series. We focus on the binomial model, and consider the problem of bias correction for estimating $f(p)$, where $f \in C[0,1]$ is arbitrary. We characterize the…

We study the variability of predictions made by bagged learners and random forests, and show how to estimate standard errors for these methods. Our work builds on variance estimates for bagging proposed by Efron (1992, 2012) that are based…

We introduce a novel approach called the Bayesian Jackknife empirical likelihood method for analyzing survey data obtained from various unequal probability sampling designs. This method is particularly applicable to parameters described by…

Prediction intervals in supervised Machine Learning bound the region where the true outputs of new samples may fall. They are necessary in the task of separating reliable predictions of a trained model from near random guesses, minimizing…

We use the jackknife to bias correct the log-periodogram regression(LPR) estimator of the fractional parameter in a stationary fractionally integrated model. The weights for the jackknife estimator are chosen in such a way that bias…

We propose algorithms for addressing the bias of the posterior mean when used as an estimator of parameters. These algorithms build upon the recently proposed Bayesian infinitesimal jackknife approximation (Giordano and Broderick (2023))…

Resampling methods are especially well-suited to inference with estimators that provide only "black-box'' access. Jackknife is a form of resampling, widely used for bias correction and variance estimation, that is well-understood under…

We develop a concept of weak identification in linear IV models in which the number of instruments can grow at the same rate or slower than the sample size. We propose a jackknifed version of the classical weak identification-robust…

Statistical resampling methods have become feasible for parametric estimation, hypothesis testing, and model validation now that the computer is a ubiquitous tool for statisticians. This essay focuses on the resampling technique for…

Bias correction can often improve the finite sample performance of estimators. We show that the choice of bias correction method has no effect on the higher-order variance of semiparametrically efficient parametric estimators, so long as…

Mixture models are a popular tool in model-based clustering. Such a model is often fitted by a procedure that maximizes the likelihood, such as the EM algorithm. At convergence, the maximum likelihood parameter estimates are typically…