Can I read A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" on EtoBox?

A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" by Cauchois, Maxime; Ali, Alnur; Duchi, John is a scholarly article available to read on EtoBox.

What is A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" about?

We identify and correct an error in the paper "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" This correction allows new guarantees on the excess degrees of freedom--the bias in the error estimate of Stein's unbiased risk estimate (SURE) for an estimator tuned by directly minimizing the SURE criterion--for arbitrary SURE-tuned linear estimators. Oracle inequalities follow as a consequence of these results for such estimators.

Author

Cauchois, Maxime; Ali, Alnur; Duchi, John

Published

2021

Language

EN