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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.
Linear smoothers and additive models
A. Buja, T. Hastie, and R. Tibshirani · 1989
Earlier work this paper cites.
Empirical Processes in M-Estimation
S. van de Geer · 2000
Earlier work this paper cites.
Uniform bounds for the incomplete complementary Gamma function
J. M. Borwein and O.-Y. Chan · 2009
Cited alongside, same era.
Large-Scale Inference: Empirical Bayes Methods for Estimation, Testing, and Prediction
B. Efron · 2012
Cited alongside, same era.
Excess optimism: How biased is the apparent error of an estimator tuned by SURE?
R. J. Tibshirani and S. Rosset · 2019
Later among the works it cites.
High-Dimensional Statistics: A Non-Asymptotic Viewpoint
M. J. Wainwright · 2019
Later among the works it cites.
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