相关论文: An Easy Implementation of CV-TMLE

Vulnerability databases, such as the National Vulnerability Database (NVD), offer detailed descriptions of Common Vulnerabilities and Exposures (CVEs), but often lack information on their real-world impact, such as the tactics, techniques,…

We develop an approximation formula for the cross-validation error (CVE) of a sparse linear regression penalized by $\ell_1$-norm and total variation terms, which is based on a perturbative expansion utilizing the largeness of both the data…

Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR based optimization objectives and their gradients from limited…

Cross-validation (CV) is widely used for tuning a model with respect to user-selected parameters and for selecting a "best" model. For example, the method of $k$-nearest neighbors requires the user to choose $k$, the number of neighbors,…

Training state-of-the-art vision models has become prohibitively expensive for researchers and practitioners. For the sake of accessibility and resource reuse, it is important to focus on adapting these models to a variety of downstream…

The Targeted Maximum Likelihood Estimation (TMLE) statistical data analysis framework integrates machine learning, statistical theory, and statistical inference to provide a least biased, efficient and robust strategy for estimation and…

Hyperparameter tuning plays a crucial role in optimizing the performance of predictive learners. Cross--validation (CV) is a widely adopted technique for estimating the error of different hyperparameter settings. Repeated cross-validation…

In this paper, we revisit parameter estimation for multinomial logit (MNL), nested logit (NL), and tree-nested logit (TNL) models through the framework of convex conic optimization. Traditional approaches typically solve the maximum…

Careful tuning of a regularization parameter is indispensable in many machine learning tasks because it has a significant impact on generalization performances. Nevertheless, current practice of regularization parameter tuning is more of an…

We analyze the performance of cross-validation (CV) in the density estimation framework with two purposes: (i) risk estimation and (ii) model selection. The main focus is given to the so-called leave-$p$-out CV procedure (Lpo), where $p$…

This paper investigates the estimation of the double autoregressive (DAR) model in the presence of skewed and heavy-tailed innovations. We propose a novel Normal Mixture Quasi-Maximum Likelihood Estimation (NM-QMLE) method to address the…

Statistical machine learning models should be evaluated and validated before putting to work. Conventional k-fold Monte Carlo Cross-Validation (MCCV) procedure uses a pseudo-random sequence to partition instances into k subsets, which…

The primary analysis of clinical trials in diabetes therapeutic area often involves a mixed-model repeated measure (MMRM) approach to estimate the average treatment effect for longitudinal continuous outcome, and a generalized linear mixed…

We consider the problem of estimating a regularization parameter, or a shrinkage coefficient $\alpha \in (0,1)$ for Regularized Tyler's M-estimator (RTME). In particular, we propose to estimate an optimal shrinkage coefficient by setting…

The Highly-Adaptive-Lasso(HAL)-TMLE is an efficient estimator of a pathwise differentiable parameter in a statistical model that at minimal (and possibly only) assumes that the sectional variation norm of the true nuisance parameters are…

Generalized linear models (GLMs) are fundamental tools for statistical modeling, with maximum likelihood estimation (MLE) serving as the classical approach for parameter inference. While MLE performs well for canonical GLMs, it can become…

This paper investigates the efficacy of a regularized multi-task learning (MTL) framework based on SVM (M-SVM) to answer whether MTL always provides reliable results and how MTL outperforms independent learning. We first find that M-SVM is…

We evaluate the performance of targeted maximum likelihood estimation (TMLE) for estimating the average treatment effect in missing data scenarios under varying levels of positivity violations. We employ model- and design-based simulations,…

Cumulative prospect theory (CPT) is known to model human decisions well, with substantial empirical evidence supporting this claim. CPT works by distorting probabilities and is more general than the classic expected utility and coherent…

We consider the problem of selecting covariates in spatial linear models with Gaussian process errors. Penalized maximum likelihood estimation (PMLE) that enables simultaneous variable selection and parameter estimation is developed and,…