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Estimation of the prediction error of a linear estimation rule is difficult if the data analyst also use data to select a set of variables and construct the estimation rule using only the selected variables.
Tibshirani, R. J. (2014), ‘Degrees of freedom and model search’, arXiv preprint arXiv:1402.1920
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Negahban, S., Yu, B., Wainwright, M. J. & Ravikumar, P. K. (2009), A unified framework for high-dimensional analysis of m m -estimators with decomposable regularizers, in
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Efron, B. (2012), ‘The estimation of prediction error’, Journal of the American Statistical Association
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