Cross-Validation, Risk Estimation, and Model Selection: Comment on a Paper by Rosset and Tibshirani

DOI10.1080/01621459.2020.1727235zbMath1437.62355OpenAlexW3012175154MaRDI QIDQ3304843

Stefan Wager

Publication date: 3 August 2020

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2020.1727235

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Ridge regression; shrinkage estimators (Lasso) (62J07) Learning and adaptive systems in artificial intelligence (68T05) Analysis of variance and covariance (ANOVA) (62J10)

Uses Software

• ElemStatLearn
• grf

Cites Work

• Generalized random forests
• A survey of cross-validation procedures for model selection
• Consistency of cross validation for comparing regression procedures
• Estimating the Error Rate of a Prediction Rule: Improvement on Cross-Validation
• Some Comments on C P
• The Estimation of Prediction Error
• Random forests