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

Alnur Ali; John Duchi; Maxime Cauchois

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

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arxiv 2112.14353 v1 pith:3XQXTQL4 submitted 2021-12-29 math.ST stat.TH

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

Maxime Cauchois , Alnur Ali , John Duchi This is my paper

classification math.ST stat.TH

keywords errorsureestimatorexcesstunedapparentbiasedestimate

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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.

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

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