Corrected generalized cross-validation for finite ensembles of penalized estimators
Generalized cross-validation (GCV) is a widely used method for estimating the squared out-
of-sample prediction risk that employs scalar degrees of freedom adjustment (in a …
of-sample prediction risk that employs scalar degrees of freedom adjustment (in a …
Precise asymptotics of bagging regularized m-estimators
We characterize the squared prediction risk of ensemble estimators obtained through
subagging (subsample bootstrap aggregating) regularized M-estimators and construct a …
subagging (subsample bootstrap aggregating) regularized M-estimators and construct a …
Reproducible aggregation of sample-split statistics
DM Ritzwoller, JP Romano - arXiv preprint arXiv:2311.14204, 2023 - arxiv.org
Statistical inference is often simplified by sample-splitting. This simplification comes at the
cost of the introduction of randomness that is not native to the data. We propose a simple …
cost of the introduction of randomness that is not native to the data. We propose a simple …
Another look at bandwidth-free inference: a sample splitting approach
Y Zhang, X Shao - Journal of the Royal Statistical Society Series …, 2024 - academic.oup.com
The bandwidth-free tests for a multi-dimensional parameter have attracted considerable
attention in econometrics and statistics literature. These tests can be conveniently …
attention in econometrics and statistics literature. These tests can be conveniently …