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

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arXiv · 2112.14353

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

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Abstract

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.

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Maxime Cauchois, Alnur Ali, John Duchi. 2021-12-29. A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?". https://arxiv.org/abs/2112.14353

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