Excess Optimism¶
Tibshirani, R. J., & Rosset, S. (2017). Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?.
Cited by¶
1 citation across 1 artifact.
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Domain-specific¶
- Stein's Unbiased Risk Estimate
- It does not say one realized SURE equals the realized squared error; nor does it say the smallest observed SURE remains unbiased after choosing a tuning value using the same observations.
This sourceTheir principal error target includes independent future noisy data; under the stated Gaussian mean setting it differs from mean-estimation risk by an additive $d\sigma^2$.
- It does not say one realized SURE equals the realized squared error; nor does it say the smallest observed SURE remains unbiased after choosing a tuning value using the same observations.
Verification¶
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Registry ID ref:f676df9e4a59 · see in the full table