相关论文: An Easy Implementation of CV-TMLE

Gaussian processes (GPs) are popular as nonlinear regression models for expensive computer simulations, yet GP performance relies heavily on estimation of unknown covariance parameters. Maximum likelihood estimation (MLE) is common, but it…

Robust inference of a low-dimensional parameter in a large semi-parametric model relies on external estimators of infinite-dimensional features of the distribution of the data. Typically, only one of the latter is optimized for the sake of…

Many modern data analyses benefit from explicitly modeling dependence structure in data -- such as measurements across time or space, ordered words in a sentence, or genes in a genome. A gold standard evaluation technique is structured…

Recently many regularized estimators of large covariance matrices have been proposed, and the tuning parameters in these estimators are usually selected via cross-validation. However, there is no guideline on the number of folds for…

Longitudinal targeted maximum likelihood estimation (LTMLE) has very rarely been used to estimate dynamic treatment effects in the context of time-dependent confounding affected by prior treatment when faced with long follow-up times,…

We present a methodology for model evaluation and selection where the sampling mechanism violates the i.i.d. assumption. Our methodology involves a formulation of the bias between the standard Cross-Validation (CV) estimator and the mean…

We advocate for a practical Maximum Likelihood Estimation (MLE) approach towards designing loss functions for regression and forecasting, as an alternative to the typical approach of direct empirical risk minimization on a specific target…

This paper studies the generalization of the targeted minimum loss-based estimation (TMLE) framework to estimation of effects of time-varying interventions in settings where both interventions, covariates, and outcome can happen at…

In recent years, there has been growing interest in causal machine learning estimators for quantifying subject-specific effects of a binary treatment on time-to-event outcomes. Estimation approaches have been proposed which attenuate the…

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…

State-of-the-art machine learning often follows a two-stage process: $(i)$~pre-training on large, general-purpose datasets; $(ii)$~fine-tuning on task-specific data. In fine-tuning, selecting training examples that closely reflect the…

We study learning algorithms that seek to minimize the conditional value-at-risk (CVaR), when all the learner knows is that the losses incurred may be heavy-tailed. We begin by studying a general-purpose estimator of CVaR for potentially…

This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE) is consistent and asymptotically normally distributed. We…

Modern deep neural networks are powerful predictive tools yet often lack valid inference for causal parameters, such as treatment effects or entire survival curves. While frameworks like Double Machine Learning (DML) and Targeted Maximum…

This study's first purpose is to provide quantitative evidence that would incentivize researchers to instead use the more robust method of nested cross-validation. The second purpose is to present methods and MATLAB codes for doing power…

We derive the asymptotic risk function of regularized empirical risk minimization (ERM) estimators tuned by $n$-fold cross-validation (CV). The out-of-sample prediction loss of such estimators converges in distribution to the squared-error…

We study three fundamental statistical-learning problems: distribution estimation, property estimation, and property testing. We establish the profile maximum likelihood (PML) estimator as the first unified sample-optimal approach to a wide…

We often seek to estimate the impact of an exposure naturally occurring or randomly assigned at the cluster-level. For example, the literature on neighborhood determinants of health continues to grow. Likewise, community randomized trials…

The maximum likelihood estimator (MLE) is pivotal in statistical inference, yet its application is often hindered by the absence of closed-form solutions for many models. This poses challenges in real-time computation scenarios,…

This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…