Cross-Validation, Risk Estimation, and Model Selection: Comment on a Paper by Rosset and Tibshirani
Stefan Wager
Abstract
How best to estimate the accuracy of a predictive rule has been a longstanding question in statistics. Approaches to this task range from simple methods like Mallow’s Cp to algorithmic techniques l...
Topics & Concepts
Selection (genetic algorithm)Model selectionStatisticsRange (aeronautics)Simple (philosophy)Task (project management)MathematicsComputer scienceEstimationEconometricsMachine learningEngineeringPhilosophyAerospace engineeringSystems engineeringEpistemologyStatistical Methods and InferenceAdvanced Statistical Methods and ModelsStatistical Methods and Bayesian Inference