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03/03/2020
Error bounds in estimating the out-of-sample prediction error using leave-one-out cross validation in high-dimensions
We study the problem of out-of-sample risk estimation in the high dimens...
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02/05/2019
Consistent Risk Estimation in High-Dimensional Linear Regression
Risk estimation is at the core of many learning systems. The importance ...
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01/30/2018
A scalable estimate of the extra-sample prediction error via approximate leave-one-out
We propose a scalable closed-form formula (ALO_λ) to estimate the extra-...
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06/24/2016